BMXAA7107E - site is not allowed because the Site of the classification must match the Site of the children and attributes.
Go to selection action associated attributes Their site id is mentioned on your attribute i.e why when u are crating attriute without siteid its not taking as you need to remove that attribute from associated list. another reason could be classification or child classification in associate classification dialog has siteid and orgid i.e it its giving this error.