Welcome to Fritzing! Unfortunately parts of Fritzing were not finished when development stopped (it is now, we hope, restarting!) This is one of the things that wasn’t finished (actually because the Arduino IDE at the time didn’t have command line interfaces which it does now.) This function only works for the Pikaxe parts, so you need to load the Arduino code from the Arduino IDE itself. There has been discussion in the past (although not with the new developers yet) about removing this as not being all that useful and a drain on developer time keeping up with IDE changes. To change the Arduino code, you need to use the Arduino IDE anyway (the Fritzing function only loads the binary), so you may as well load it from there as well. Fixing it would need a source code change and a new release (which hasn’t happened yet) so the current work around is to load from the Arduino IDE.
Peter