Actually on my Computer there is no C:\Users Folder, because I am in Germany and here we have C:\Benutzer instead of C:\Users, because "Benutzer" in German means "users".
So it points to a non-existing directory.
No, Explorer shows you Benutzer but it is actually Users.
You can even type C:\Users in the explorer and it will put you in (what you think is) C:\Benutzer.
Anyway... %localappdata% is a shortcut to C:\Users\A.Conti\AppData\Local\ (or C:\Benutzer\A.Conti\AppData\Local\) and it has the Lazarus directory. (AppData itself is also normally hidden)
If you exit Lazarus it should contain a environmentoptions.xml now.
If you rename it and start Lazarus again, go to the code-editor and press Alt+G, does that work?