I have been trying to add USA Major Roads to my ArcPro map. I keep getting the below error.

It is a layer package, so I have downloaded it. It was created in my User > Documents > ArcGIS > Packages folder, but when I go to that location, and try to add the .lyr file, I get this exact same error. I got this layer package directly from Esri's Portal.
This layer file adds to ArcMap just fine.