"This cable or accessory is not certified.." seems to be a problem with iOS 9.2 failing to correctly identify an Apple Pencil with no battery charge. Use the male-to-female lightning adaptor that is provided with the Apple Pencil to connect it with your iPad Pro's charge cable, then charge it from your iPad Pro charger. After a couple of minutes the Apple Pen should have a percent or two of charge - enough for your iPad Pro to recognise it when plugged into your iPad Pros lightning port. Provided your Apple Pencil has enough charge, you should be offered the option to pair it, and be warned that the Apple Pencil has low charge. 10-15 minutes on charge is usually enough to provide the Apple Pencil with 15-20% charge.
If, even after a prolonged charge, you still have the same problem, check your iPad Pro's lightning port for fluff or other detritus. Failing that contact Apple Support.
Note: You can check you Apple Pencil's charge level by pulling down the notifications panel from the top of your iPad's screen and tap Widgets. Both your iPad and Apple Pencil charge level will be shown under the Battery widget.
I hope this helps.