Vaadin Copilot does not currently support creating new files, and the error message is misleading :(.
It was a somewhat tough decision not to support at the first round to make sure, everything was handled properly from a security perspective.
There is already work, and PR to change this and support creating the file, so when this PR is merged and the new copilot client (Vaadin framework) is released, probably this will be changed, and you can do this without any issues.
If you have any other problem or idea, please continue raising it here on stackoverflow, or even in the relevant repository. It is listened to and concerned, and it is super helpful!
Thank you very much alexanoid.