Shotcut provides opengl32sw.dll. When you try to use software Display Method, it tries to copy the files named above as a foolproof way to use the software method due to a bug that is out of our control. However, it still tries software method despite this. The copy fails because your user does not have permission to write to files in Program Files. That is normal and good policy by Windows. If you want to avoid this copy failure and have foolproof software method, you can run the portable version from a folder where you have write permission such as Downloads or Desktop. However, be aware that software method is slow for full resolution HD+ video and to use preview scaling with it.
You do not need the DeckLink drivers. Do not be concerned about “warning” here.