It's indeed pretty weird that it stopped at Secrets! Anyway, that's probably the language folder it's trying to create.
Try making the following folders to see if the game runs:
Documents/Secrets of Grindea/Languages
%APPDATA/Secrets of Grindea/Characters
%APPDATA/Secrets of Grindea/Worlds
%APPDATA/Secrets of Grindea/Backups
Creating these might give the game enough privileges to continue creating files for saving etc. I remember another case of this issue and it worked for him.
If the game does indeed run with these folders, do some quick tests, like making a character, play a short while, restart the game and see if the character is still there. Also, if you want to play with a translation, check to see if that works as well.
If it doesn't work, it means the game can't write basically anything, and you should ask Steam (or Humble if you bought it there) for a refund before your 14 day refund window is over! At some later point you can try the demo to see if things have improved.