Can you confirm that the folder you're attempting to save files in is actually one you can write to? If not you can change it using the icons next to the filename template box. I know there were some bugs in this area that I have fixed recently, but I think the fixes should all be in the latest release. If not I should have a new release out in the next few days.
The second error message just means that you need to change the template for the filename (probably by adding the %INDEX substitution to the filename template), otherwise it will be the same for all TIFF or FITS files written in the capture sequence.
Unrelated to this issue, I'm afraid you may find that your camera just doesn't work on El Capitan. Apple changed the USB subsystem enormously between Yosemite and El Capitan and appear to have broken some of it badly. This doesn't just affect ZWO cameras -- I've heard that other cameras have become unreliable or completely stopped working, and other peripherals such as PIC programmers too. There appear to be fixes in 10.11.2 that improve the situation and I've read that connecting devices via a USB2 hub can help, but at the moment there's probably no way to find out what works and what doesn't other than by testing every possible combination of hardware :(
To the best of my knowledge there are three separate bugs reports filed with Apple about these problems, but as their bugs database isn't public I can't find out if they have been marked as fixed yet.
James