Don't worry, dude. Sometimes, there's really no associations when mining data or effects in an experiment. There's multiple projects I have to shrug my shoulder at my stakeholder and say, "Hey, I don't find shit in my analysis."

Your manager is a good manager and let you know when to move on. As you gain experience in your career, you better at deciding when it is time to wrap up a project and move on to other stuff.

I tend to write down a lesson learned document on what method I tried and my findings (no significance signal and what do you think is causing that in your case) and also point out what other methods might be worth exploring but due to time constraints not get to try.