[2021] I can't get Stellaris to load directory files from custom location

Not really, all those games should work in the same way in that respect.

All those userdir.txt files are identical?

It may be case sensitive, is that all okay?  

If you run stellaris.exe directly does that happen too? If so the issue must be in the userdir.txt file there. Is that file identical between the working and non-working games?

What if you try a different folder name like D:/stellaris/ ?