I tried this today.
First I discovered there was a slightly newer Project My Screen version, so I uninstalled the current one and installed the new one (uninstall was necessary, otherwise I couldn't install the new one, it would show an error message saying there was a newer version installed).
Then I tried connecting before the app, after the app, etc without success.
In the end, I read this posts and tried all my USB 3.0 ports.
Nothing.
My laptop has 1 USB 2.0 port though, so I tried it, the connection took longer than with the other ports but then the "Allow screen sharing" message appeared! And I was able to use the project my screen app correctly.
So that's cool that it works, but it's not cool that it only works with USB 2.0 :/
Let's tell Microsoft about it so they fix it. (Feedback hub maybe?)