Harald: For me, it was because I installed from RPM and decided I want Jenkins to be auto-upgradeable. So I ran chown jenkins /usr/lib/jenkins/jenkins.war. The button to Upgrade Automatically did appear, as did the exception after I clicked it. The jenkins user needs write access to the containing folder, as that is where the downloaded file is stored.
An alternative solution have been to download to a guaranteed writable file in the temp dir, but being able to rename the .war to .bak (backup file) before upgrading seems like a good idea as well, so now the button only shows up when the folder is writable as well.