Sorry, I don't have any good ideas about your situation, but FWIW, the following are some thoughts.
And for the second :
There are two things about this that I'm curious about:
1. Is the path between the first set of double-quotes where your CreateShortcutThere.exe file lives? If you copy-paste the path between the first set of quotes into a command prompt window (e.g. run cmd.exe from the run dialog (Windows Key + R)), what do you get as a result? Alternatively, can you use Windows Explorer to visit the path between the first set of double-quotes without the CreateShortcutThere.exe portion? If you do, do you see a file named CreateShortcutThere.exe?
2. I'm more used to seeing "Program Files" with a space between the "m" and the "F". I noticed in the path above that there seems to be no space. Also, I tend to see "AutoHotkey" with a lower-case "k" in folder names -- though perhaps in this case, it makes no difference -- I noticed that in the path above, there is a capital "K".
If you run the CreateShortcutThere.exe file again and ask it to remove the context sensitive menu entry, does it successfully remove the context sensitive menu entry?
Also, if you move the exe file somewhere else and try to add to the context sensitive menu by running the exe, does that make any difference as far as the behavior you reported about it not working is concerned?