What event do you have this script attached too?  The SetError() method should only be used for PRE events (Pre-Validate, Pre-Write, etc.)

I had it set to Post-Validate.  I changed it to Pre-Validate and the message appears now -- thank you so much!!!

I spoke too soon. I only want the message to appear and not clear the UD field; by setting it to pre-validate it clears the value in the State UDF field which I can't have it do .... this needs to just be a warning message with the value entered in the field to be saved after clicking off the error message.

There is a SetWarning() method you can use that should do that.  It's a "little" hit and miss depending on the Sage logic, but give it a try.  Either that or you could use coSession.UI.MessageBox() method if it doesn't work.

I tried setWarning and the message won't pop.  I read somewhere that UI.MessageBox can't be used on advanced or premium -- is that no longer true?

You should not use the VBScript msgbox command, as it will pop-up where the script is running on the server.  However, if you use the Sage MessageBox() method, it will route the message to the workstation.

oSession.AsObject(oSession.UI).MessageBox "", "Hello World!"

But, you should check for the the UI being present (oSession.UI) having a value before you attempt to display the message.  This message will have an OK button on it.

Thank you.  I got the message box to pop up, but now when I click OK in the message box, the message box pops up a second time --- then when I click OK on the second message box instance I'm able to continue on.  Is there a way to stop it from popping up twice?

Do you have the script attached to more than one event?  Which event is the script attached?