Based on recommendation of a friend, I was very eager to try out gameex. I checked the box for arcade ambiance and it seems there might be a typo in the installer.
Setup - GameEx 18.64
This also happened for the other optional boxes as well (the Steam wrappers and configs and the TV Channel ICONs). I can figure out the path for this file, but no clue about files 2 and 3 and I assume this is just a typo in the code and it can easily be fixed in an updated installer.