Make sure the currently logged in user has proper permissions to the directory they are exporting the SEP client install package to.
The current user must have Modify, Read & Execute, List Folder Contents, Read, and Write permissions to the folder where the export package is being created.
Specifically it seems that not allowing the user (or group) "modify" permissions to the directory still allows the Install package to export if it's NOT a single EXE, but reproduces the same error if the option is checked for a single .EXE.
The [Path Name] is the actual path with a temporary subdirectory named with a long (seemingly random?) alphanumeric name (example: C:\A07EF524BBA.......)