those two indicators show the 2 memory types CityEngine uses : Java memory (left) and Native memory (right). [ CityEngine is written using 2 programming languages : Java and C++ ]
Thus you're running out of Java memory.
The reason for this is that Java reserves a certain amount of memory for CityEngine and this memory can not be used for any other application. Due to this fact, the developers had to agree on this certain amount of memory which is okay for most users. Some users with big datasets may - as you - run into issues with this. But of course this amount can be set. (PM me to get instructions)
Though editing this amount has it's risks if the user's not perfectly aware of the steps taken.
To get an overview of how much the VRAM is used, check :
Help > About CityEngine > Installation Details > System Info > OpenGL