People that came here from Google or Duckduckgo (like me) need the answer on this one. In my case I made a Starter on my Desktop to start Caja filemanager directly from the Desktop. But when I made it executable and click it to run, I get the same message as topic starter above.
For that, I found out a solution, so here it is:
Open a terminal and type:
(change username to your username)
chmod -a -R 777 caja
rm -r caja
Next time the machine starts or Caja filemanager is used, the map caja wil be back in the right mode on /home/username/.config. So don't worry for that.