Please file a an issue, giving examples of what you tried and what you expected it to do, so I can look into improving it, or at least provide more helpful error messages. https://github.com/downthemall/downthemall/issues
However, right now this error message should only appear when you leave the mask field completely empty...

As for the folder, yes, everything needs to be under the Downloads folder, a limitation in WebExtensions, tho subfolders are supported either with the corresponding dropdown, or dynamically with the mask.