Just to say I figured this out - I installed Exult as an admin user (on Windows 10) but tried to run it as a normal user, which doesn't work because the installer writes the config file, with the game static data paths, to the user's %AppData% folder, which is in fact the admin user who installed the game, not the user now trying to run it.

Fixed by copying the config file from the admin user's %AppData% to the normal user trying to run it.