You have obviously haven't not got onedrive installed as it is the official (and only "documents" folder location as you can see from my screenshot. Your app doesn't install it there it puts it into "%USERPROFILE%\Documents\paint.net App Files\Effects".
Your documentation should put people out of their misery and spell it out either way, even better would be to create the structure in the app if you insist on putting it into a currently undocumented location, at least the documentation could say the structure already exists. Even better make it configurable in your app then create the structure there (or separate plugin locations).
I don't understand how you expect users of pdn to know what value "CSIDL_MYDOCUMENTS" returns (even if that was documented), or why you couldn't put the 2 locations into the about box and document that and stop the torture.
Putting the file into this directory solved the problem and the plugin finally works (after about an hour of my time)!:
D:\ > dir "%USERPROFILE%\Documents\paint.net App Files\Effects"
Directory of C:\Users\Dennis\Documents\paint.net App Files\Effects
22/07/2014 12:19 AM 146,432 RecolourChoice.dll
1 File(s) 146,432 bytes
2 Dir(s) 426,008,129,536 bytes free
In previous installations I have moved the folder as you suggest, but too much junk is placed into that folder so now I have a separate data directory of my own where most important files go.