According to this page "The generated script appears in a new Transact-SQL Editor window".
When this didn't work for me, i closed all open windows other than the schema compare window and re-checkmarked all differences in the list (i had un-checked some). After doing this and running "Generate Script" again, Visual Studio did actually open a new window with the script (The filename was "C:\Users\me\AppData\Local\Temp\MyDbName_Update1.publish.sql").