Here's the answer & fix (for CutePDF at least):
Go to the Cute PDF Writer (or whatever PDF printer you're using) Printer Properties and select the Advanced tab. Now, change from "Spool documents", to Print directly to the printer. Voila! Works every time. Keep in mind though, that you have to MINIMIZE the SafeZone and go back to the standard desktop, where the "Save As" window is waiting for you ( don't close SafeZone, just minimize, so you can go back to SafeZone). This should also work for other PDF "printers", or where you have the "printer" pre-set to save to a specific location.
After I thought about this problem, I came to the conclusion that it must have something to do with disk access from SafeZone (makes sense) since the "Save As" prompt would never show up. So, changing from "spool" to "print directly to device" (in this case CutePDF) worked perfectly.
Hope this helps.
Marcus Antonius