I could be wrong because I don't file 1040NRs, but I have stuck in my mind that ProSeries does not allow a 8962 on a 1040NR.

If that is the case, you would need to manually prepare the 8962, override the numbers on the 1040NR to correspond with the results on the 8962, and file by paper.  Or look for another company's software that is set up for a 8962.