This issue occurs when the default script directory under File > Program Options > Startup/Files is set to a folder that does not contain the TV Templates folder.
You can access them by using File > Open > All Files, then select one from the folder. Then, use File > Save As and save it under your script name and in your script folder, so as not to overwrite the template.
This issue has been corrected in Screenwriter 6.
Tag: Movie Magic Screenwriter 2000 / 4.x