First of all, you actually pay attention to the instructions
Not all games have save data, MANY games, especially Extended Memory ones and generally recent games keep their saves as Extra Data or a mix of both (eg: on FE:Fates first 3 saves are save data, other 6 are extra data). If you get that message, it means it doesn't have save data, so backup the extra data instead, simple as that.
The way Jdbye said, there are two options in JKSM, one for extra data and one for save data. However, are you absolutely sure you DO have a save on those games? Alpha Sapphire and X use Save Data, so you should be able to back them up. Ultra Moon is the one that uses Extra Data... Before anything, choose the "refresh list" option on JKSM in case games aren't counted properly and also make sure you have actually played the games and saved in them for any save data to even exist (if you haven't played a game, no save data directory exists, so you can't inject save data where it doesn't exist and there's nothing to backup either).
Every time i boot up checkpoint or pksm, i get a yellow screen. After some research, i believe i need to download a JKSM.smdh and a JKSM.xml and put it in the 3ds folder with the JKSM.3dsx. However, I cant find those files for download online. Does anyone have a link where i can download those neccesary files?