Currently, I am making a SFX with 7zip using the following config:
;!@Install@!UTF-8!
InstallPath=\"C:\\\\test\"
GUIMode=\"2\"
RunProgram=\"7z465.exe\"
;!@In
Use modified 7zsd.sfx from http://7zsfx.solta.ru. InstallPath only works with the modified package.
I never found out why this was happening, and after hours of struggling with it, I switched to WinRAR. Granted, its got some quirks of its own, but I was at least able to figure those out and get it running for my needs.
Would recommend WinRAR over 7z for SFX stuff.