few guesses,
From virtual command prompt. See if you can can access the location of installed program. (I doubt that it can)
Check with the native installation (SAP), and see how it behave in same scenario.
To me it looks like a case where virtual application is trying to access some resource (file/registry); which the user is not authorised for, when it does not found that it launches the backup plan; which is to instal the required software.