It seems like the route you saved, is not a .PLN file.
Using FLTSIM FPLS to select a .PLN route should work.

OR. Your using FSX-SE, and the CDU is looking in the C:\Users\<YourUserName>\Documents\Flight Simulator X - Steam Edition Files folder for the saved flight plan, but you're not saving it there.

When FSX-SE is installed without FSX being installed, it is the default FSX, and so it uses the C:\Users\<YourUserName>\AppData\Roaming\Microsoft\FSX, and C:\Users\<YourUserName>\Documents\Flight Simulator X Files, folders.
If both are installed, FSX-SE uses the AppData\Roaming\Microsoft\FSX-SE, and Documents\Flight Simulator X - Steam Edition Files, folders.
So....When installing the 777 Captain for FSX-SE, the installation doesn't care that FSX is not installed, and it uses the Flight Simulator X - Steam Edition Files folder (and \Microsoft\FSX-SE folder)regardless.