If you go back to step 1, it doesn't give an error about permissions?
It seems like it's saying that you can write to the directory which implies that you should be able to create new directories within, but when you actually create those directories, it's erroring. There may be some more advanced permission configuration setups in Windows that could prevent that. Make sure that the full control is being inherited to all sub directories and files (it should be on the "advanced" permissions page).
Have the permissions been inherited correctly? Plesk has an option to allow additional read/write permissions per domain, you could test enabling this and see if it works - then check out how the data and internal_data directory permissions are set up if it does.