I was recently asked if I knew of any reason for SQL Server failing to install if the one of the folders was set to a volume other than C: – the installation logs and Process Monitor traces pointed to “access denied” but it was not clear why this should be failing.
It turns out that the problem is specific to Windows Server 2012 when running under VMWare with the hot-plug capability enabled – under Hyper-V or on physical hardware the problem does not occur.
There is a public KB article on this from Microsoft, and a shortcut provided to VMWare’s Knowledge Base on how to disable the feature causing the problem.
I don’t know the technical reasoning behind why this VMWare feature interferes with the creation of files on secondary volumes, or what it changes when presenting the volume to the system, but it seems reasonable to assume the problem is not restricted to SQL Server 2012.