Database diagram support objects cannot be installed because this database does not have a valid owner. To continue, first use the Files page of the Database Properties dialog box or the ALTER AUTHORIZATION statement to set the database owner to a valid login, then add the database diagram support objects.

When I right click on the database diagrams folder in SSMS to create new diagram. Following popup window open with error.

Solutions:

From the Message you can clearly see that the database does not have a valid user. We can have a valid user by running a query or through SSMS.

Query:
ALTER AUTHORIZATION ON DATABASE::TestDB TO sa
GO

Change Database name to your database in query.

SSMS:
Go to properties of a Database by right clicking the Database and then select File.
Change the owner by clicking the dotted button in highlighted part in the image below.