That Documents location looks okay, so the issue pretty much has to be antivirus. Place the attached userdir.txt file in the Steam folder where stellaris.exe is . It tells the game to write the user files and logs right there, instead of under Documents. Then exit the Steam app entirely and run stellaris.exe manually from File Explorer. Does the game start up that way, or what happens?
What antivirus app do you use?
In File Explorer right click on Documents in the left column, just under This PC. Go to properties, location. What does it say in there?