In the "Peripherals" setup on Pro Tools, you have the Send to setup wrong. That is also supposed to point to your device. (That is the MIDI send for the 8 channels in what you are assigning here as "controller 1."
Send to should be also set to Oxygen 25.
This is a fairly common error in Pro Tools and other DAWs. After correcting this, maybe also trying other usb cables; and restarting your entire system, it should work. You may also need to get a powered USB hub for consistent performance of music devices, especially since you are on a laptop. I've seen that exact error and solved it by using powered USB hubs, fixing the basic settings, or replacing usb cables.