In order to Broadcast (Compile > Send to Device) you have to first download the AppGameKit Player, which weirdly isn't under TheGameCreators but instead is by "GAME MAKING FOR ALL"
This actually threw me when I first tried looking for it the other day, to help with someone who was having some Mobile Issues, as I thought it was some 3rd Party / Unofficial thing.
Anyhow, before you broadcast... start the AppGameKit Player, it'll say "Unconnected" but then when you hit "Broadcast" it'll automatically transfer and run.
This I'd argue isn't exactly an "Ideal" way to Develop... unless you're specifically targeting Mobile.
Now the Editor will always go into "Sandbox Mode" whenever you're running a Project from a "Protected" Directory.
What you want to do, is create a Folder (something like C:\AppGameKit or My Documents\AppGameKit) then in Edit > Preferences, on the main screen change the Default Directory to the Folder you just made.
When you Create a New Project, it will Default to this Directory and add a Folder (the name of the Project) in there... and being a Non-Protected Folder will allow AppGameKit to run normally.
Alternatively you can start AppGameKit in Admin Mode.