Couple things that might be causing this:
Did you browse to the directory location in the probe UI or just type it in? It's possible the probe UI doesn't think that directory is locatable.
Does the directory path include wild card values such that it might match multiple directories? Fetch will only work if it identifies a single target.
Do you have the "recurse into subdirectories" option checked? I don't think this will work if that is selected for the multiple targets reason.