Algumas coisas são possíveis aqui.
1. He plans to use her as an insurance in the long term. This plan was no longer possible as she gets rescued when the Avengers attack the castle. Up until the point Avengers storm the castle, the place is full of Ultron bots, hence there are literally thousands of guards there. At that point, he leaves with all the Ultron bots as he literally doesn't care what happens with Natasha. Even if she manages to escape she would be dead(according to his original plan).
2. After Wanda sees his real intentions whilst at Dr. Helen Chos lab and the Maximoffs leave him, Ultron is alone. He explicitly mentions that he feels alone, & he has no one else to show it. This isn't a particularly strong motive, though it could be true as he doesn't kill her either. He has no other reasons to keep her alive. He would've let Natasha die or kill her if he had the chance later.