Is the Property defined for a pin in the Property definition Editor?
DxDesigner->Tools->Property definition Editor
Did you select the Pin to set the Property?
If you didn't select a pin you can not set the Property.
Which flow are you using, if in the Independent or PADS flow and a properties file is linked, you should see # for a pin number.
If you are creating a design for Expedition, the property is renamed to the more intuitive "Pin Number"