Mosek is telling you Problem status : ILL_POSED
Solution status : PRIMAL_ILLPOSED_CER
My interpretation (which matches with the claimed "solution") is that the infimum is gamma = 0, and this is an unattainable solution achieved by allowing P and W tend to infinity (typical Hinf behaviour, the Hinf optimal controller is numerically bad)
Hence, you have to solve some sensible sub-optimal solution such as
optimize([F,object == 1e-6])
or
optimize(F,object + penalty*(norm(P)+norm(W)))
or anything that stops the solver from trying to return the numerical nonsense solution (gama=0, P=W=inf)