Tried to repeat the process for the 3.0.1 version but it didn't work - For some reason the 3.0.1 version is not creating the Electrum folder at "C:\Users\YOURUSERNAME\AppData\Roaming\"
Like I said... sounds like a weird permissions problem... where Electrum is not able to create the folder... possibly the Windows UAC stuff somehow preventing it from writing to that directory? Did you try right clicking Electrum and selecting "Run as Administrator"?