Why? Because you'll run into problems like this. If I had a nickel for every time I see someone put their games in their program files folder and run into this exact problem I'd have 20 cents, which isn't a lot but it's at least 4 5 cent candies, 3 with taxes. If I then had another nickel every time someone who did that and ran into one of these problems insisted that other games work fine then I'd have another 4 5 cent candies, or this time 7 total with taxes since the taxes on those two purchases would be less than two candies.
It doesn't matter that you put it into a sub folder. The permissions are inherited from the program files folder when you create a sub folder there and will cause these problems. You should be putting your renpy games into a folder that doesn't have the elevated permission bullshit you get in program files. For that matter you should be putting all of your games, renpy or otherwise, in a folder other than one that comes with that elevated permissions bullshit.