What are you doing when you get that message? It's not when you turn on saving of all device currents, I presume - but in response to some other interactive command?
Is it a node (i.e. a wire) or a device terminal that you are selecting? Obviously selecting a node makes no sense...
Note that saving device currents only saves currents on primitive devices; if the terminal you are probing is a subckt terminal (and that includes if the model is implemented as a subckt underneath), it will not be saved.
You can get them to be saved by using the subcktprobelvl option to save currents to a certain depth; be warned that this can impact performance because it causes lots of iprobes to be inserted which makes the matrix bigger (this can be avoided using the subcktiprobes option - see "spectre -h options")
I'm out for a couple of days, so it may just be worth logging this as a service request so that one of the AEs can take a look at this with you - I'm sure it's something simple - and a little debug should highlight it relatively easily (e.g. looking at the save statements in the netlist if any, and looking in the results browser to see what actually got saved).