Then you got some missing DD statements. TOOLIN is require for the control cards, and you need something for messages. That and the spacing of the control cards, some dummy data supplied on DD * for IN and I think you'll have a good start.
So it was JES3 class , some missing DD statements and spacing of the control cards. All one-time problems (always copy something which already works, then you have the basics to hand immediately).
//ICEDISPL EXEC PGM=ICETOOL
//TOOLMSG DD SYSOUT=*
//DFSMSG DD SYSOUT=*
//RPT DD SYSOUT=*
//TOOLIN DD *
DISPLAY FROM(IN) LIST(RPT) -
HEADER('HEADER1') HEADER('HEADER2') HEADER('HEADER3') -
ON(1,4,ZD,LZ) ON(5,1,CH) ON(6,35,CH) BLANK BETWEEN(5)
//IN DD *
Well done with using the Code tags. You are in the correct part of the forum if you have DFSORT (messages start with ICE) else you should be in SyncSORT if messages start with WER (SORT) or SYT (SyncTOOL).