When creating a new project, the default location tries to create a file in My Games found in User Data. The issue is that User Date is not called the same in french, it is called "Données Utilisateur". While this works on paper, the dev tools don't support french letters, in this issue, <é>. And perhaps other letters as well.
It can't create the project because it can't find the file, so it creates a new file with the spelling error.