When in a new project and pressing the ARM button on the VS-100, Logic Pro 8 will sometimes display the "Save As" dialog. This is normal behavior if you have not yet saved your project to a location on your computer. Essentially, Logic wants to know where to write the audio files associated with your project, thus it forcing you to save first.

Note: this same behavior will happen simply by clicking on the Record Ready button on a track in Logic Pro 8 with your mouse.

To avoid seeing this message when pressing the ARM button on the surface, simply save your project to a location on your computer.