As Peter pointed out the issue is probably with the working directory. The run application action has a property for the 'Working Directory'. Try setting it to the the same directory of the application that you want to run. If that doesn't work you'll need to find out what the correct working directory is.
I am sure you would see the same behavior/Problem if you created a link to run the app on your desktop, and then deleted or set the working directory to some other directory in the properties if the link.
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