After adding your control points, you can select Update Georeferencing or Rectify. The former puts information in an aux.xml file and world file that tells software how to display it properly, but it doesn't otherwise change the image. Rectify produces a new image which gets rid of any rotation, and requires some interpolation. I would suggest searching Help on georeferencing, since there are other options and information on georeferencing that you might like to use and which may help explain your error message.