Lucky I figured out what was causing it. Now, i don't know why but apparently if I have any custom voices Dl I get that error but on stock ones it works fine.
If I had only guessed this was the problem earlier. Oh, well. Any of you want to try Dl a custom voice and see if you get an error with the say command?
Well, since you fellas were to lazy to do what i asked i did my own tests. And, in DP2 of mavericks this problem does not exist. It did in DP1 though. Looks like Apple might have read this thread lol so thanks Apple.
This does occur on my system too, also only with downloaded voices, but not the stock ones. Just as you say, command works as expected but generates error message.
Just an annoyance, but looking forward to it being fixed in Mavericks.