You are using FND_MESSAGE wrong. You should define a message in the application (Application Developer > Messages), run the generate messages program, and then fnd_message.set_name takes the name of the message you defined. If the message name can't be found then the upper case message name is displayed instead of the actual message - this is what is happening here.
You should follow the application standards when developing custom forms - review the developers guide, particularly the section on messages.
FND_MESSAGE.SET_STRING('Schedule(s) Cancelled Successfully ');
fnd_message.set_name ('Fnd','This Schedule Has Actuals Entry , Do You Still Want to Proceed !!');
& it's working fine
Using static strings for messages isn't apps standards for developments. You should define the message in the application and use fnd_message.set_name.