"cannot create setting file"

[Zini]

I think we should add in the readme where these files are located, so one can delete them,

We need to list the location of the user directory (per platform), yes.

the launcher should be able to create the /openMW directory.

I assume you still mean the user location here. Not only the launcher must create this directory, but OpenMW too. And if that does not work, it's a bug.