The sunrise.php file is a special file that WordPress looks for while it bootstraps itself. For WordPress to be able to detect the sunrise.php file, it needs to be located inside the wp-content folder.
When you activate WP Ultimo and go through the setup wizard like the one you have on the screenshot, WP Ultimo tries to copy our sunrise.php file to the wp-content folder.
Most of the time, we’re able to successfully copy the file and everything works. However, if something is not properly set up (folder permissions, for example), you might run into a scenario where WP Ultimo is not able to copy the file.
If you read the error message Ultimo gives you, you’ll see that’s exactly what happened here: Sunrise copy failed.
To fix that, you can simply copy the sunrise.php file inside the wp-ultimo plugin folder and paste it into your wp-content folder. After you do that, reload the wizard page and the checks should pass.
In any case, this might warrant a general check of your folder permissions to avoid having problems in the future (not only with WP Ultimo but with other plugins and themes as well).
The Health Check tool that is part of WordPress (you can access it via your main site admin panel > Tools > Health Check) is capable of letting you know if you have folder permissions set to values that might cause problems with WordPress.
