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I'd probably try a few different things...
First, if that is actually your statement copy-pasted, as you seem to be missing the word 'write' in the 'on error' clause? If it's not, please paste the actual syntax you are using. Obviously, I appreciate you are hiding the SQL credentials. I don't suppose your password has any special characters (like a single or double quote) in it that might be creating problems?
Second, I'd try losing the quotes around your rules files. According to the TechRef '_' is an alphabetic character, so there should be no need to quote them (although the TechRef is wrong about MaxL quoting sometimes).
Third, if that doesn't work, try using double quotes (and double-backslash in the error path) everywhere.
I am assuming those load rules all actually exist on the Essbase server and in the database you are loading. I also wonder if you're doing this on a supported platform, because the error path suggests a personal laptop install. :)