El Capitan removes the long-time MacTeX default path location of
/usr/texbin and does not allow it to be recreated. Various parts of TeX Live Utility assumed this as a default path setting. Unfortunately, under some conditions you could also end up with this error message instead of the intended message (because Apple only displays the first alert sheet on a window).
A partial fix is to change your "TeX Programs" setting in TeX Live Utility's Preferences window; if you have MacTeX 2015 or BasicTeX 2015, you can use
/Library/TeX/texbin as the new location. If you have an older TeX Live, you will need to navigate to the correct binary directory containing the
tlmgr tool (e.g.,
/usr/local/texlive/2014/bin/x86_64-darwin). See TeX Live Utility's Help menu for details on this setting.
A more complete fix, including better warning messages, is available in the latest beta and soon-to-be released version of TeX Live Utility. The latest beta release is available here:
The built-in Sparkle updater should notify you when the final version is released, hopefully in the upcoming week. If you encounter problems with the beta, use the Problems or Questions from the Help menu to file a bug report.