Try run the command get default directory() and look in the log for the path, typically your documents folder. The path you specify in Save PDF() should be hierarchically beneath the default directory path. At least that's how it works on JMP 10 for Mac.
Save PDF("test.pdf") creates the text.pdf file in my documents folder.
Save PDF("output/test.pdf") creates the file in a folder named output within my documents folder.
To save to the desktop you may have to first change the default directory.