The wrong working directory can impact e.g. the loading of libraries. In my specifc case it loaded a globally installed version of the discid.dll, see https://github.com/JonnyJD/python-discid/issues/44
Issue is in the installer script, see http://nsis.sourceforge.net/Docs/Chapter4.html#createshortcut
I will provide a fix, this ticket is just for later reference.