I thought that too, but opening files with CleanShot works. This is why I tried to replace CleanShot X with Preview to test that permission also through the macro. I get the same message if I replace the App in the action with Preview.
I tried your macro on my system and it didn't work - but I did not get any kind of error message.
Thinking that your Cleanshot X might be somehow different to the one I've got I had a look at the selection of Cleanshot using the More option in the drop down menu here in the action:
You can see that the Cleanshot item doesn't have an icon, so on choosing More I got this:
I then selected the Cleanshot with the icon and thereafter the macro worked.
I don't know why I have 2 entries for Cleanshot but it might be worth your looking at it on your system... Maybe it's causing your problem?
Try using the "Open a File Folder or Application" action instead, feeding it the %FinderSelection% token and setting it to use CleanShot X (which I don't have, so the picture shows it set to Preview):
That will limit you to one selected file only -- if it works and you want to work on a multi-selection we can roll the action into a "For Each".
There was an earlier problem using Finder to open apps to open files -- but I can't remember if that was KM- or OS-version related. But it's worth updating to KM v11 -- even if it doesn't fix this problem you'll get some useful new KM abilities.