This looks like you perhaps installed the cd version of POTC from Bethesda into your Maelstrom\games directory. That is incorrect, so don't do that; you don't need the original game for any of this. Instead, your NH directory should look like this:
You will see that my path is E:\MaelstromItch\games\new-horizons, so I would make my shortcut Start in: E:\MaelstromItch\games\new-horizons. Also, if you have a 64 bit operating system, like Win10, you might also consider changing the Target: path to DirectX9_64bit\Maelstrom.exe, because your screenshot of the your error shows that you are using the 32 bit version of Maelstrom.exe.