I couldn't set one either. I was in Lenthsome Lift and my destination was Mossystep (after is was no longer grayed out). I tried Stucote Stacks as well. I got the error both times.
Yeah, I really love the set a path function as it really helps speed things up when you're not wanting to dawdle. But they only seem to work within the current map - I keep getting error for that.
It would be nice if you could set a destination on another map - I spend a lot of time at border signposts trying to remember/looking up the name of the street on the next map I want.
Kind of like how Google Maps says to row a boat between countries :)
Or maybe the error could say 'You can only set a destination on this map' rather than 'Not found'.