"The document ... is on a volume that does not support permanent version storage."

Starting with Prism 7, Prism mac supports Apples's Resume and Versioning system. 

The versioning feature works with Mac OS Extended (HFS+) volumes that are directly connected to your computer. Network connections to volumes over AFP, SMB, or NFS don't support Apple's versioning system, so Prism presents the message, "The document [name] is on a volume that does not support permanent version storage."

When versioning is functioning, you can roll back a file to prior versions (even after saving and reopening) via the File.. Revert to.. command. If you are saving to a volume (drive) that doesn't support this feature, you can still use Prism without any problem. You just won't be able to roll back a file to a prior version. The message sound more alarming than it really is.

The message and the limitation of certain kinds of drives comes from MacOS, and is not something GraphPad has any control over.