It's not a limit for Construct, it's a limit built-in to browsers. For security reasons all sub-resource requests on the file: protocol count as cross-origin, as if they came from an entirely different website. Often that means requests fail or security restrictions block features from working.
Some simple tests or more feature-limited engines might not have any issues, but Construct has a sophisticated engine with a wide range of features, and the browser security restrictions mean it always gets blocked. However as I said it shouldn't matter: if you want something to double-click and run, use a desktop exporter.