Look's like i've managed to solve the problem. I had to grant full access to the folder
C:\\Program Files (x86)\\Red Gate\\SQL Data Generator 1\\Config
for the user
that is running the generator.
The 'error/warning' message does not appear anymore.
Additional Notes for everyone else:
I tried setting the Privilege Level "Run this program as an administrator" for all users for "SQLDataGenerator.exe" this quickly prompted Windows 7 to ask "Do you want the following program from an unknown publisher to make changes to this computer" which didn't work for me.