New Information:
I was running v1.54. I just repeated all the process with v1.56 and the error persisted. But now I do have an app.log file. Its content is as below:
[00000000] INFO: FF7/FF8 OpenGL driver version 0.8.1b
[00000000] INFO: Auto-detected version: FF7 1.02 US English
[00000000] INFO: Intel Intel(R) HD Graphics 4400 4.3.0 - Build 20.19.15.4835
[00000000] INFO: OpenGL 2.0 support detected
[00000000] INFO: Using PBO
[00000000] INFO: Found swap_control extension
[00000000] INFO: Max texture size: 16384x16384
[00000000] INFO: Original resolution 640x480, window size 640x480, output resolution 640x480, internal resolution 3840x2160
[00000000] INFO: Shader limits: varying 64, vert uniform 4096, frag uniform 4096
[00000000] INFO: fragment shader compile log:
WARNING: 0:4: '' : #version directive missing
[00000000] INFO: FFMpeg movie player plugin loaded
[00000000] INFO: FFMpeg version SVN-r25886, Copyright (c) 2000-2010 Fabrice Bellard, et al.
[00000000] INFO: VGMStream music plugin loaded
[00000000] INFO: Loading external library Multi.dll
[00000000] LOCK UNLOCK TEST
[00000001] MATRIX INITIALIZE
[00000001] INITIALIZE DD/D3D END
[00000001] initializing sound...
[00000001] creating dsound primary buffer
[00000001] reading audio file
[00000001] loading static sounds
[00000001] sound initialized
[00000001] set music volume: 127
[00000001] set music volume: 127
[00000001] Entering MAIN
[00000001] Exiting MAIN
[00000001] START OF CREDITS!!!
[00000001] INFO: C:\Steam\steamapps\common\FINAL FANTASY VII\data\movies\eidoslogo.avi; vp8/vorbis 1280x960, 30.000000 FPS, duration: 11.133000, frames: 334
[00002111] set music volume trans: 127->0, step=60
[00002176] END OF CREDITS!!!
[00002176] Entering MAIN
[00002176] set music volume: 127
[00002176] Exiting MAIN
[00002176] START OF MENU SYSTEM!!!
[00002176] ERROR: COULD NOT CHANGE TO DIRECTORY C:\Steam\steamapps\common\FINAL FANTASY VII\save
[00002484] END OF MENU SYSTEM!!!
[00002484] Entering MAIN
[00002488] Exiting MAIN
[00002488] Field Start
[00002489] INFO: C:\Steam\steamapps\common\FINAL FANTASY VII\data\movies\opening.avi; vp8/vorbis 1280x896, 15.000000 FPS, duration: 119.467000, frames: 1792
[00003104] WM_CLOSE
[00003104] Field Quit
[00003104] UNINITIALIZE DD
Many thanks for the awesome work!