It is coming from then SetUseOpenCL method. At this moment it needs write access to the following directory: %LOCALAPPDATA%. The next release of Magick.NET will no longer set the OpenCL property from the static constructor. And I will add a method to set the OpenCL cache directory so you can use a directory other then %LOCALAPPDATA%.
MagickNET.SetOpenCLCacheDirectory(@"C:\inetpub\OpenCLCache");