Because Weatherlink uses USBExpress, not standard USB and Weather Display can’t read USBExpress.
See this FAQ
This is something that Weatherlink does when you choose USB connections instead of Serial when going through the setup.
This is saying that it can’t connect to the COM port so run through the linked FAQ above, set the connection to Serial and you should start getting data. Like I said above, Weatherlink can also receive data using the Serial connection but you can’t run Weatherlink and Weather Display at the same time, it’s one or the other. 