When plot_format is 'gnuplot', gnuplot_term is not default (let's say canvas here), and gnuplot_out_file is specified, the intermediate file 'maxout.gnuplot' is created in the current directory of the maxima process, rather than the maxima-tempdir as plot2d() and plot3d() do. The attempt will fail if the current directory is not writable by the maxima process.
I think the behaviors of julia() and mandelbrot() should be the same as plot2d() and plot3d() in this regard.
Attached is a patch for share/dynamics/complex_dynamics.lisp . The code is copied from plot.lisp ($plot2d and $plot3d definitions) and adapted to the context.
I have committed the attached patch to the master branch.