FedEx does not allow return label generation for some drop off types. As a workaround to get your label created, you can go to
Head to your Account Settings (the wrench icon in the upper right).
Next, select Shipping and then Carriers & Fulfillment from the sidebar on the left.
Click the Edit link for FedEx.
Now, choose Regular Pickup from the dropdown list for "Drop Off Type."
Select Yes, Please Proceed… to save your changes. You can now create the return label, and switch back to your desired drop off type afterwards.