1-Did gpg import to downloads folder as instructed
see: screenshot ‘fedora-1’
2-Verified gpg in downloads folder
visible in Screenshot: ‘fedora-2’
Top of screenshot see the ‘import’
That should have given you an OK response followed by the message.
The message is simply telling you that the gpg signature lines contained in the .CHECKSUM file are not in the format expected by the sha256sum command. The message is perfectly acceptable since the file contains lines for each iso to be verified followed by the signature that is used to ensure the checksum file itself has not been altered and came from an approved source.