I don't know what the KMO test is. When you post a question, it's helpful if you could include the log from running the step, showing the full code for the step, and all the notes and error messages.
In this case, the error messages you showed seem clear. If you look at the values in your data with PROC FREQ or PROC MEANS, do you see that they are all missing?
As to why they would all be missing values, it's impossible for us to know. Remember that when you run a SAS program, it's important to start debugging from the first error / warning / bad NOTE in the log. Often with this sort of problem, the cause is in earlier code that read in the data, or manipulated the data in some way, when creating WORK.MYDATA.
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