With the help of Airshinx_13, that I had a quick Teamviewer session with, we found the problem and, in fact, I'd say it is an installer bug, a result of more and more paranoid tests against possible foul combinations of missing files, folders, etc.
No need to download anything, you should be able to fix by creating this empty folder:
%APPDATA%\Microsoft\FSX-SE
If you don't have FSX, the installer won't use it, but if it's there, it should now continue. It was a result of trying to detect an improper partial FSX uninstall, which sometimes happens.