FYI that last screenshot is the firewall, which has nothing to do with this problem.
This 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:
Victoria3.exe (in the Steam Victoria3-binaries folder)
dowser.exe (in the Steam Victoria3-launcher folder)
C:/users/<UserName>/AppData/Local/Programs/Paradox Interactive/launcher-v2.2022.13/paradox launcher.exe
C:/users/<UserName>/AppData/Local/Programs/Paradox Interactive/bootstrapper-v2.exe
IF that doesn't help, also set each of those .exe files (EXCEPT Victoria3.exe !) to run as the Windows Admin user.
If that doesn't help: Right click on Documents in the left column of File Explorer, just under This PC there. Go to properties, location. What does it say in there?