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That's not a save file, that's a save state. Save ingame and then open your actual save file (.sav).

Already fixed on latest commits; https://github.com/kwsch/PKHeX/commit/7122c5c3f5f437c986e1910b825ae36a2e93d876 In the meantime, you can manually create the folder it is forgetting to create. In your case: E:\De Jure\Program Files\PKHeX\pkmdb\ Side note, PKHeX isn't really a "Program Files" level program, moreso a portable app. I don't think it will cause issues being there, but the program does not require any specific administrator permissions to function (reading and writing files isn't a special privilege for PCs).