The error message suggests that the file format is incorrect and suggests a way to test. Did you try that?

The error message suggests what the problem is and what is required to address the issue (granted the message could probably be improved further). Given your exact steps, it is true when the error message says: "Some Rhapsody Model Manager data are missing in file". Unless you save your changes in Rhapsody when connected to RMM (ex: Rhapsody EWM Eclipse client-plugin is connected and logged-in, and the RMM status in the Rhapsody client is 'Online' and not 'Offline' [in your case]), the Rhapsody file will not contain all the required 'meta-data' that is required for RMM on change set delivery.

As more implementation detail: When a new element is created in Rhapsody, Rhapsody needs to ask RMM which 'RMM server-id' to assign to it. Since the RMM data is saved in the RMM server, it is the server that needs to generate new IDs, and give them back to the Rhapsody client so that they can update the file with this RMM specific 'meta-data'. On delivery RMM code will assert that all model elements have correct RMM data (such as IDs in this case, and that their values are correct). If not, it will reject the change set delivery. If the validation passes OK however, post change set delivery, RMM is able to parse the Rhapsody File (XML) in order to identify the model elements that should be saved to the RMM database (which in turn are what get shown in the RMM web-ui for example...)