Since the 440-series drivers, CUDA support for everything older than second-gen Maxwell (GM2xx) chips has been depreciated. Premiere Pro now requires full hardware support for CUDA 10.2 or higher in order to be supported. Unfortunately, your GeForce 940MX is only a first-gen Maxwell chip (GM108) whose CUDA support had been artificially restricted to CUDA 10.1 level even though it is running CUDA 11 drivers.
Worse, the 940MX has no NVENC hardware encoder at all whatsoever, and has its NVDEC hardware decoder disabled during manufacture. Presumably, the GM108 with an enabled NVDEC hardware decoder could have been used in the desktop GeForce GT 730 or a never-realized desktop GeForce 930, but Nvidia opted to not use that chip.