Do you use the function Select[] in your code? If so, will you please provide that section of code also.
If you do not use the Select[] function in your code, then this would indicate an issue with the CDF deploy process.
I went through the process myself as best as I could given the information you have provided so far. I did not see
any issues, so, to directly answer your question, it seems to me that it is possible to deploy a Mathematica
notebook which contains a dynamic URLSave function, since I was able to do so using Windows version 9.0.1.
I would need more information in order to determine what is causing the error message.