https://bugs.winehq.org/show_bug.cgi?id=57475
--- Comment #3 from Neko-san nekoNexus@protonmail.ch --- I can try reinstalling 9.21 to see if this happens again but, yeah, the game needs to be installed.
(Although, technically, you don't explicitly need Skyrim because Mod Organizer 2 lets you install mods from other games but will just apply an associated icon for that usage behavior in the left pane. MO2 actually supports a lot of games, so this does open up the ability to making the testing of this easier given someone owns any supported titles)