I noticed from your screen shot that the robot does not appear to be connected to mBlock.
You can only use the Scratch block 'say' when you are either tethered via USB cable or if you are connected via WiFi or Bluetooth. You have to start the program with a when Clicked hat block from the Events palette, not an mBot program hat block from the Robots palette.
Also note that the shape of the ultrasonic sensor block indicates that it is a 'reporter' block which will return the current value of the ultrasonic sensor. You can create a variable, or if you use the when Clicked block as mentioned above, the say block from the Looks menu.
The error dialog you are getting indicates that the Orion hat block (which indicates that the program needs to be compiled to Arduino code and uploaded to the robot) does not support the 'say' block. This should be expected because the robot does not have a screen.
Keep in mind that an Arduino system is not a computer, but rather is a microcontroller-based system. When you are tethered via cable (or WiFi or Bluetooth), the program operates on your computer and special commands are sent to the robot to set or get data which can then be displayed on the computer screen.