If you are getting the attached error message when clicking on the "Add Child Incident" Action from your Incident window this means that there is no default Query set on the Object and therefore it wouldn't know what list to display.
To add a default Query, please log into Console as SA or Admin and go to Object Designer.
Expand Incident Management and Double click on Incident.
In the "User Interface Properties" you have a setting called "Queries - Default Query".
Highlight this and set this to "All Incidents". (This is the Query that will be displayed when you click on the Action, so you could set any Query here)
Save and go back to your Incident and you should now be able to add Child Incidents.