X:\Download\$(GOG)\
Is my download path, that's where the files land. I don't see any spaces in your path. What you seem to be reporting is that in some cases a \ gets changed to a _. It seems that you're reporting that it's an issue if you have "per group" paths set.
Looks like a straight up bug to me. You threw me off with the spaces thing because, I don't see any spaces in anything you're doing.
Let me restate what I think you're saying:
"In my per group paths, if I have a path with an embedded \ it gets translated into an underscore".
That sound right?