The PSoC4 M is a bit different. Do as the error messace suggests: set the WDT interrupt generation to "user generated" in the clock view.
Recent Low-Frequency Clock component (cy_lfclk) has a feature to generate an ISR for WDT automatically. Following is an example of PSoC 4 BLE.
When the ISR is automatically generated, you can register a callback function to the ISR and execute the callback when WDT occurred.
If you want to provide your own ISR select the "User provided"
Please refer following datasheet for more detail.