I can confirm that your NW export has this weird dialog box, if I export the capx myself to NWjs, it works like it should.
What you could try is:
Uninstall NWjsForC2 and reinstall it. Look if the folder is deleted after uninstall and before reinstall.
Delete the folder with the name of the exe (here downloadtest) in %USERPROFILE%\AppData\Local\.
After that, try export it again.