Game can close silently also by DEP.
DX flder should contain hellfire.exe. And only dx folder should have it inside, as i remember.
So i guess you used GOG Galaxy client and game build - verify installation. At least twice in a row (first - re-downloading, second - verify again, but Galaxy now always redownload something and do not properly report what exactly files\redist's).
That how it should looks like
http://www.gogdb.org/manifest/5b1628aa1385f8fd023832e8ab881a98 (offline builds are completely differ - filelist can be same or with differences)
Do not install game and Galaxy to program files. Always set game exe (or galaxy i you start it from galaxy) admin run. Turn off DEP entirely. Or vise versa - turn on for all apps and add every game clients\builds to exceptions manually.
Windows DEP never work properly in any Windows version.
I heard about a tweak for Win10 to compeltely disable UAC, but in response user dont tell me what exactly he do and for what reason.
So my suggestion - do not turn off UAC and kepp it by default. Set each game exe (or steam\galaxy exe) to admin run - exactly to get UAC pop-up promt. With that it be 100% guarantee that UAC (and Windows Defender) is temporary disabled for that exe (and any else exe started from it, like SteamOverlay.exe) and no VirtualStore user-space\Winregistry be used.
Check GOG Support pages for Blizzard games (all), check PCGamingWiki articles.
If problem persist:
http://us.battle.net/support/en/article/27703 You can reinstall game by offline installer (removing old folders and check VirtualStore folder\winregistry) and then add it to Galaxy.