bgracontrols.lpk depends on a package that is not installed on your system.
From the screenshot, one such uninstalled package is lhelpchmpkg 0.2. There may be others as well - check the list for packages with a red cross overlay in the icon.
To tell the IDE where the package is, simply open the uninstalled package using the package manager. If desired you can also compile and/or install it. Once the IDE locates the unknown package it is no longer unknown, so it can resolve the dependency for bgracontrols.lpk.
You should find lhelpchmpkg 0.2 in the folder
...lazarus/components/chmhelp/packages/help
Use
Package > Open Package File (.lpk)...
to browse to the appropriate folder on your system to locate the uninstalled package.