"Print to Text" prints to a file, and you have to specify the name of the file to print to in the text field next to the checkbox. It looks like you left the text field empty, and the app doesn't check for that, and ends up trying to open the app's "files" directory itself, instead of creating a file inside that directory.
Specify a name in the text field and try again, it should work then.
I should mention that this feature isn't very convenient, because in order to actually do something with the print-out file, you first have to copy it to an accessible location using the File Import & Export menu, and then grab it from there. There is no option to share the file directly the way you can share programs, and it would be better if there were.
If the amount of text you're looking to capture isn't too large, you may prefer using the Copy button in the Print-Out window. This will copy the contents of the Print-Out window's buffer, as text, to the system clipboard, from where you can paste it to anywhere.