Hi, thanks for using Xzip!
Please keep in mind that even with the filesystem sandbox disabled, GameMaker projects are still subject to Windows filesystem permissions. Most likely, the application does not have permission to access your project directory. If needed, you can give GameMaker access to protected locations with the "get_open_filename" or "get_save_filename" functions, then pass the returned file path to Xzip functions.
Xzip does attempt to validate access permissions on its own, but GameMaker can silently redirect filepaths to the sandbox in some cases, so you may not be getting an error if, say, the file is being created under %AppData% instead.