Check the Part properties in the schematic, the PSpice Template property for a diode will look "something like":
D^REFDES %1 %2 @MODEL
If the property is not there, or blank, that will be the problem. Take a look at the parts in one of the Diode libraries in the installation if you need some examples. If, by some chance, your diode model is a subcircuit rather than a "simple" device model, the PSpice Template property will need to be "something like":
X^REFDES %1 %2 @MODEL
If need be, get the Model Editor to make a Capture Symbol and containing library from the model data, using File>Export to Capture Library. This will have the required properties on the generated symbol or log any issues with the library creation.