I created the missing folder by hand, and at least HM is starting now.
I find this highly disturbing, that random folders on you disk may disappear. I have no idea why would this happen, but anyway, here is my list of suspects:
-Holdem Manager guys
-windows update guys
If first, it makes no sense that HM or HM installer would delete a directory without which it does not work.
If second, it makes no sense that they would go trough AppData/Roaming and delete random things.
Weird.