Ah! That's indeed the answer right there.
Does that mean there was a new EXE on 25 May 2020? Or does that refer to 2019?
Could it be that the ModDB file is out of date?
This link says "Updated: Jul 3rd, 2018":
https://www.moddb.com/mods/new-horizons/downloads/build-14-full-installer
That doesn't sound right.
Sounds like a safe place. So that shouldn't be the problem.
That definitely confirms an installation error of some kind though.
Please try reinstalling using this executable:
http://piratesahoy.bowengames.com/potc/Grey Roger/Build14_installer_25052018.exe
My suspicion is that there is a different one in use...
@ijzzbloc: This applies to you too, since you've got the exact same error.