MPR++ has no error messages built into installer.....
the only thing the mpr++ installer does with "Python" is copy files.
so if you see any errors during install you should delete the installer file and re-download it, it sounds like file is corrupted during downloading or antivirus/security software is preventing proper installation.
Edit; Quote from UDM Dominion War Scenario topic
if this is happening only on the "UDM Dominion War Scenario" saved game, this would not be un-expected
The UDM Dominion War Scenario saves are not compatible with current version of UDM or any version of MPR++.