Hi,
The first time PSUD runs, it attempts to copy the set of standard rectifiers and example PSUs from the .DMG file to the documents area (it's correct practice on the Mac to store things there).
It sounds like you've got tighter security than my Mac has got, it's just a standard MacBook Pro with no customisation. Are you using a company provided device that is locked down or something like that?
Regards,
Duncan