The problem comes from the fact that your Vim setup supports python, but python is not installed on your system.
When Vim has the 'python'
and/or 'python3'
features enabled that means that it provides an interface to interact with python code: you can make Vim to ask the system to execute a python statement or a whole python code.
Even if the interface is enabled, Vim is not a python compiler/executer: you still need to install them on your system so that Vim can make a call to these tools. See this page to get the executable to install python.
In the comments OP also had a question about which version of python (python2 or python3) to install:
Here python was needed to make UltiSnips working, as UltiSnips doesn't recommend a specific version I'd recommend to install whatever version you want, both should work. Remember that it is possible to install several version of python on the same system.