I have a dim memory of hearing somewhere that you need to run SkyrimSELauncher.exe first at least once to create .ini files and such.
I was going to suggest you just spend the $6 or whatever to buy the game on Steam, but apparently they're asking $53 for it now. What the fuck Bethesda. Maybe they had to raise the price to stop it selling more than Starfield. Anyway, good luck.