I'm suspecting the "out" file is from the scheduler, telling you job output. If you are executing a "save" command in MATLAB, it's saving the file to the file system, and that has nothing to do with the job output file -- the output file just saves any output from (most likely) standard out of the console where the process was launched. So what you are seeing is MATLAB starting and not finding a window system -- it's running in "console" mode.
So if you are running on the cluster, it's saving the file somewhere on the filesystem, and that location is determined by whatever code you are running. Since you aren't getting an error, it's likely succeeding -- which means you aren't trying to do something like write to a location you don't have permission to write to.
You should probably also check if there is an .err file and see if there are any errors in there.
I'm also guessing that whatever facility you are using likely has documentation and best practices for you to run MATLAB jobs on the cluster, as well. I've seen a few facilities that have very specific guidelines and howtos that cover things like where output goes, how to submit the job, etc.
