Portable only means that it doesn't need a specific location present at run time, not that it doesn't use another location temporarily.
It's just that if it works for a different user, it seems that permissions is the right path to go down.
It looks like that, yeah.
It's just that I don't know where to start.
I downloaded ProcessMonitor and traced the operations of Cathy.exe. But at first sight I don't see anything that indicates it hasn't enough rights to write or read.
Moreover, when starting up, it should just read the .caf files that are in the same directory as the cathy.exe.