When I add an application for a project to the hierarchy tab >Parents, and then click on the Audit Trail icon and receives an alert.
Alert: ODF-0800 No Attributes were selected for auditing. Contact your administrator. 
What does this mean?

Release : 15.5

Component : CA PPM SAAS APPLICATION

You may notice that the audit trail belongs to the "Investment" object (notice the title on the audit screen).

This indicates it's looking to audit against the "Investment" object, you likely don't have any auditable items on it. 
Go to "Administration" then "Objects". Find "Investment Parents" in the list, open it. 
Go to the "Audit Trail" tab. Add any attributes that should be audited, and populate "Purge Audit Trail" and Save.