Please have a look at these faqs by Hayes: http://processmacro.org/faq.html
I have copied and pasted the relevant section here:
" The index of moderated mediation is available when the indirect effect is a linear function of a single moderator. In some models with a continuous moderator (e.g., models 58, 59), the indirect effect is a nonlinear function of the moderator, so no index of moderated mediation is provided. "