Hello,
Here what I've done to make it work:
Open Start on Windows 10.
Search for Command Prompt, right-click the top result, and select Run as administrator.
Type the following command to enable the built-in Administrator account and press Enter:
net user "Administrator" /active:yes
Open Start on Windows 10.
Click on your user. Sign out or select administrator.
Game works now.
So this is really a set of permissions of some kind on the folders. Even though my current account is an administrator. This is really weird.