I'm keeping get this error on Windows. Tried different snowgem folder location in AppData/Roaming.
Had same issues:
In app/roaming you need two different folders...
...snowgem (contains snowgem.conf)
...SnowgemParams (contains those two sprout files form the param zip)
Then on wherever you want...
...snowgem folder containing the 4 files form the wallet zip.
then start the .jar file and all runs well:)