To use the feature you should
have annotations named "exon" on your input sequence.
An example of a file annotated in such way is provided in the documentation (GenBank accession ID: NM_001135099.1).
Alternatively, you can also use another name, but you should then input it in the dialog:
Quote:Exon annotation name
To detect exon boundaries UGENE searches for exonic annotations. This option allows to set custom name for annotations denoting exons. Default value is "exon"
The link to the documentation:
https://ugene.unipro.ru/wiki/display/UUOUM/RTPCR+Primer+Design