Well, I found one reason why you have to install to some other directory besides program files. The program shortcut (on my machine) is:

"C:\Program Files (x86)\Activision\Rome - Total War\RomeTW.exe -mod:eb -show_err"

this of course causes the missing shortcut dialog window to appear where it attempts to scan for the right executable.

Instead it should be:

"C:\Program Files (x86)\Activision\Rome - Total War\RomeTW.exe" -mod:eb -show_err

Move the final double-quotes to right after the exe in your install script and the problem should be solved.