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Ah, that is usually an antivirus app getting in the way. What antivirus app do you use? You need to make sure all these apps are in its exceptions lists:

stellaris.exe and dowser.exe (in the Steam Stellaris folder)
C:/users/{username}/AppData/Local/Programs/Paradox Interactive/launcher-v2.2024.9/paradox launcher.exe
C:/users/{username}/AppData/Local/Programs/Paradox Interactive/bootstrapper-v2.exe

IF that doesn't help, check the properties of each folder in this path: Documents/Paradox Interactive/Stellaris/ - if any are flagged Read Only that will be your problem.
 
Ah, that is usually an antivirus app getting in the way. What antivirus app do you use? You need to make sure all these apps are in its exceptions lists:

stellaris.exe and dowser.exe (in the Steam Stellaris folder)
C:/users/{username}/AppData/Local/Programs/Paradox Interactive/launcher-v2.2024.9/paradox launcher.exe
C:/users/{username}/AppData/Local/Programs/Paradox Interactive/bootstrapper-v2.exe

IF that doesn't help, check the properties of each folder in this path: Documents/Paradox Interactive/Stellaris/ - if any are flagged Read Only that will be your problem.
Thanks. Despite the fact that I added everything related to Paradox to the antivirus exclusions, it only worked after uninstalling it. Antivirus Avast
 
Yeah, I've seen that a few times over the years with Avast and AVG in particular (all though not so much recently). You may find you can install Avast again; AV apps tend to trust apps that are already installed.

Or, if you don't visit risky sites, just rely on Windows defender.

Good luck!