Windows installer cannot be generated when output dir does not exist

[dokempf]

Checklist

• [X] I added a descriptive title
• [X] I searched open reports and couldn't find a duplicate

What happened?

Under Windows, specifying a non-existing directory for --output-dir results in an NSIS error. Creating the directory beforehand works, as does the Linux and MacOS case.

Conda Info

No response

Conda Config

No response

Conda list

No response

Additional Context

No response