Data file missing
When a torrent data file doesn't exist, and Vuze expects it to, a download will go into an error state as shown in this example:
The reason that Vuze doesn't silently create a new file is that it is important that you get a chance to review the error state. If you had deliberately moved the file (or perhaps a network mount had become unavailable) it is unlikely that you would want Vuze to re-download the content without telling you (especially if it is a multi-GB file, that isn't going to help your share ratio!)
Generally speaking the 'force recheck' command comes to your rescue here. This will go through the download's existing data files (if there are any remaining) and check them for consistency. It will also create any files that have gone missing and put your download back into a state where it can be started. Right-click on the download and select the menu option:
If you have moved the entire download elsewhere you also have the option of changing its save location - in the above image you can see this option at the top of the menu.
If you have moved one or more files elsewhere you can either move them back to where they should be, and then force-recheck, or you can individually update the files locations by going to the Files View (in the torrent details view), right-clicking on the affected files and selecting 'retarget'.