And a MWE in combination with a callback where it fails for all solvers (also taken from the official docs, see here:
using DiffEqCallbacks, OrdinaryDiffEq, LinearAlgebra
prob = ODEProblem((du,u,p,t) -> du .= u, rand(4,4), (0.0,1.0))
saved_values = SavedValues(Float64, Tuple{Float64,Float64})
cb = SavingCallback((u,t,integrator)->(get_du(integrator)[1],norm(u)), saved_values)
sol = solve(prob, Tsit5(), callback=cb) # throws mentioned error