You have "Always Save Images" enabled in the user preferences for UltiMaze [Pro]. The image that Blender told you about doesn't have a valid path for saving, so unless you override this by disabling the "Always Save Images" property, UltiMaze will play it safe and tell you to go ahead and save this image. 

Note: UltiMaze will not automatically prompt you to save your render result or viewer nodes.

Enable "Generate 3D Maze" in the layout settings just a bit below the "Generate Maze" button.