One might argue that SQL Developer should display an error message and not create any file in this case. What is happening here? Windows does not want you to clutter up the C:\ root directory with regular files.
Of course, you can create a directory in C:\, or even create a regular file there if you are running as Administrator. For the non-Administrator case, we get...
So best practice is to avoid writing to C:\ and instead create your own output directory somewhere and write to that.
Edit: Actually, in most situations, SQL Developer will display
but you seem to have found an edge case. In playing around a bit, I also saw the same behavior one time, but then could not get it to repeat.