In Serv-U v14 (actually a v15 beta), I can reproduce this error by trying to create an SFTP server cert in a folder where SYSTEM doesn't have any write or modify permissions.
So...I'd make sure that the SYSTEM user (if you're running as a system service) or whatever other user Serv-U might be running as has write/modify permissions to the folder into which you're trying to create your SSH server key.