Welcome to the forum, @RayLin!
I’ve never run into this issue myself, but it does come up occasionally on this forum. The error is generally caused by incorrect formatting of the taxonomy, usually from an uneven number of taxonomic levels or incorrect punctuation/whitespace.
This topic has some useful diagnostic discussion and tools. You’ll find other examples of people troubleshooting their errors by searching 
this classifier does not support confidence values
Let us know what you find!
Chris 