Hey ,
As the error clearly says you cannot clone a virtual machine with the RDM in Physical Mode attached to it as the cloning operations uses an snapshot temporarily and they cannot be used in that mode. However if your RDM is in Virtual Mode, the cloning operation will convert it to VMDK in the destination VM.
The only way of doing this is removing the RDM from the virtual machine, clone the same and in the destination one create the RDM once again. If you delete the RDM it will not affect the data as it only deletes the mapper files for the RDM and do not interact with the LUN directly.