imac – Why do I see "Thunderbolt accessory can not be used"?

I bought a brand new MBP and a cable was included. It has USB-C ports on each side of the cable and is used to charge the computer.

If I do not charge it with the stone, but put it in my new iMac, I get the following error message:

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Why do I see that? How can I fix the problem?

This message means I connected the "accessory" (iMac) to the MacBook Pro via a non-Thunderbolt port. However, the marketing materials on indicate that all ports are Thunderbolt ports:

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