This is because your Steam Client folder isn’t setup right.
You can manually force a reconfiguration by deleting %appdata%\Train Fever Game Manager\preferences.lua and then start TFGM. Observe that the path shall go to your Steam client not Train Fever.
When the path is okay it turns green.
The latest TFGM version is 0.8.10.44 – 1245
Hope this helps.