Hey, all. Don't know if you solved this yet. There's a fix on the way. In the meantime, here's how I got past it:
Find the OpenRCT2 folder in your documents. It should contain folders like bin, landscape, save, scenario, track.
Create a new folder called "Title Sequences" (without the quotes).
Now when you create a new title sequence using the steps above, it will create in that folder and work properly!