GDI+ generic error saving bitmap created from memory using LockBits
Bitmap bmp = new Bitmap(2048, 2048, PixelFormat.Format16bppGrayScale);
GDI+ exceptions are rather poor, you'll have little hope to diagnose the two mistakes. The lesser one is your Save() call, it doesn't specify the ImageFormat you want to save. The default is PNG, not BMP as you hoped.
But the core one is PixelFormat.Format16bppGrayScale. When GDI+ was designed, long before .NET came around, everybody was still using CRTs instead of LCD monitors. CRTs were quite good at displaying a gamut of colors. Although good, there were no mainstream CRTs yet that were capable of display 65536 distinct gray colors. Most of all restricted by the DAC in the video adapter, the chip that converts the digital pixel value to an analog signal for the CRT. A DAC that can convert with 16-bit accuracy at 100 MHz or more wasn't technologically feasible yet. Microsoft gambled on display technology improving to make that possible someday so specified Format16bppGrayScale as a pixel format that might someday be available.
That did not happen. Rather the opposite, LCDs are significantly worse at color resolution. Typical LCD panels can only resolve 6 bits of a color rather than the 8 bits available from the pixel format. Getting to 16-bit color resolution is going to require a significant technological break-through.
So they guessed wrong and, since the pixel format isn't useful, GDI+ doesn't actually have an image encoder that can write a 16bpp grayscale image format. Kaboom when you try to save it to disk, regardless of the ImageFormat you pick.
16bpp grayscale is actually used, radiological imaging uses that pixel format. With very expensive displays to make it actually useful. Such equipment however invariable uses a custom image format to go with that, DICOM is the usual choice. GDI+ doesn't have a codec for it.
You'll need to go shopping for a library that supports the image format that your customer wants. Lead Tools is the thousand pound gorilla in that product segment.