While working with InfoPath 2013 and SharePoint 2013 on a Windows 2012 platform, I came across an issue where I was not able to convert the InfoPath data connections into UDCX files. I was getting the error below:
The specified location does not exist or could not be opened. Choose a data connection library on a server running Microsoft SharePoint Server and specify a valid filename.
After some read through, I found out that for this to be able to work, I would need a Windows feature installed on the server. This feature is Desktop Experience. Once I enabled this from the Server Manager, and restarted the server, I got rid of this error. Files were then getting converted to UDCX and were published to the Data Connection library.
Hope this helps someone.