This error shows that in your gateway at WEB/python/ path there is no python file named zigbee.py. Therefore you will have to upload the zigbee.py to the gateway either through WebUI or through iDigi Manager Pro.
Are you trying to run the Dia in your local PC or in the X2 Gateway?
The Digi ConnectPort X products have an embedded Python module called xbee to manage the XBee interface of the device. The problem is that there is not such library for the PC, so if you try to run the Dia in your local PC you will receive that error.
At present you can run the Dia software in a PC, but without using the XBee interface.