In brief: DOSBox didn't want to run Ultima 8 from its default location in Program Files\gog.com\Ultima 8. Turns out the game tries to open some files in write mode, but doesn't have permissions (files under Program Files may be write protected by default).

How to solve: Move to a different folder, then run with your own DOSBox and run Install.exe :)

Personally, I found running the program in administrator mode worked.

This worked very well even for Ultima 7, thankyou