I am also seeing this problem with only one .conf file, using the supplied .conf file which I edited for my use.
Running stunnel as a service, the entry in the service manager is:
"D:\Applications\stunnel\stunnel.exe" -service -install D:\Applications\stunnel\stunnel.conf
It runs correctly and the log entries are correct. All of the items on the menu in the systray work correctly except 'Edit stunnel.conf'. The file does not open. I just put a shortcut on the desktop to get around this.
Selecting 'Save peer certificate' saves the certs in the correct directory (so it obviously knows and can get to the path) .