Primary Key error when trying to create Foreign Key

Primary Key error when trying to create Foreign Key

Running into a problem creating a Foreign Key after creating a
Parent/Child table scheme with partitioning setup.
CREATE TABLE [dbo].[MessageHeader](
[MessageReceivedHeaderID] [int] IDENTITY(1,1) NOT NULL,
[MessageReceivedHeaderGlobalId] [uniqueidentifier] NULL,
[CreatedDateTime] [datetime] NOT NULL
)
GO
ALTER TABLE [dbo].[MessageHeader]
ADD CONSTRAINT [PC_MessageHeader_CreatedDateTime_1]
PRIMARY KEY CLUSTERED ([MessageHeaderID], [CreatedDateTime] ASC)
WITH (PAD_INDEX = OFF, STATISTICS_NORECOMPUTE = OFF,
IGNORE_DUP_KEY = OFF, ALLOW_ROW_LOCKS = ON, ALLOW_PAGE_LOCKS
= OFF)
ON [PS_Monthly] ([CreatedDatetime])
CREATE TABLE [dbo].[MessageDataInfo](
[MessageDataInfoID] [int] IDENTITY(1,1) NOT NULL,
[MessageHeaderID] [int] NOT NULL,
[CreatedDateTime] [datetime] NOT NULL)
GO
ALTER TABLE [dbo].[MessageDataInfo]
ADD CONSTRAINT [PC__CreatedDateTime_1]
PRIMARY KEY CLUSTERED ([MessageDataInfoID], [CreatedDateTime])
WITH (PAD_INDEX = OFF, STATISTICS_NORECOMPUTE = OFF, IGNORE_DUP_KEY
= OFF, ALLOW_ROW_LOCKS = ON, ALLOW_PAGE_LOCKS = OFF)
ON [PS_Monthly] ([CreatedDatetime])
GO
ALTER TABLE [dbo].[MessageDataInfo] WITH CHECK
ADD CONSTRAINT [FK_HeaderID]
FOREIGN KEY([MessageHeaderID])
REFERENCES [dbo].[MessageHeader] ([MessageHeaderID])
What happens is I get the error:
Msg 1776, Level 16, State 0, Line 1 There are no primary or candidate keys
in the referenced table 'dbo.MessageHeader' that match the referencing
column list in the foreign key 'FK_HeaderID'.
I am not sure why this is happening because that column is obviously the
Primary Key! Any help is appreciated.