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What kind of predictive problem are you solving? Is it a classification or a continous numeric problem? What I can see on my side is that the Model Comparison is throwing this error when you try solve a numeric problem, it does not throw the error for a classification problem. The error seems to come from the "Confusion Matrix" macro inside the Model Comparison tool, which makes sense actually because the Confusion Matrix is really only important for classification problems.
Now for numeric problems you should be able to ignore the error as you should still actually see results coming out of the P, E and R (with Browse for R) output anchors of the Model Comparison tool.
I will check with the Alteryx product team on this.