This problem is caused because the State Service is not configured. This would normally be provisioned automatically by the Farm Configuration Wizard, but if you have configured the without the aid of this wizard (as recommended) then you need to ensure that the State Service is set up correctly.
This can be achieved using the following PowerShell:
#Start the State Service (modify db name if multiple farms!)
$ss = New-SPStateServiceApplication -Name "State Service"
New-SPStateServiceDatabase -Name "WSS_StateService" -ServiceApplication $ss
New-SPStateServiceApplicationProxy -Name "State Service Proxy" -ServiceApplication $ss -DefaultProxyGroup
Don't forget to load the SharePoint snap-in if you are not using the "SharePoint Administration Console":