When I run my sandboxed application in macOS Sierra, I find this message in the Log :
2016-09-21 12:08:42.787003 MyApp[1505:63581] warning:
macOS applications follow the pattern of sandbox. This means that you need to explicitly allow your application to read/write files, otherwise you encounter a permission problem that trigger some errors (one of them is in the form of the warning that you have underlined).
On the Capabilities tab of your application, be sure to enable at least one of the file access methods.