Thanks, Jan for pointing this out. This is confusing to a lot of people. Neither the ActionErrors class nor the saveErrors method of the Action class is deprecated in any version of Struts 1.
Furthermore, since ActionErrors is a subclass of ActionMessages, you can still pass an instance of ActionErrors to the saveMessages method and it will work just fine. It's just that now you have the choice of using either ActionMessages or ActionErrors when creating error messages in your action class.