"User data files" in Settings is the folder for your own breakpoint and other text files, not for CDP exes. For CDP programs you need to choose the correct folder for "CDP PROGRAMS". As you say, these are normally in ...cdpr7\_cdp\_cdprogs. When the Settings page is updated, click SAVE+EXIT and allow it overwrite the Soundshaper.evt file as necessary. That way, the settings will be in place next time you start the program. You can easily check them after startup if you're not sure.
If the CDP programs folder has been assigned correctly, then I'm sure Soundshaper will find envel.exe if it's in that folder.