Steps to reproduce:
1. Install Zabbix agent 2 on Windows system
2. Define some user parameters

UserParameter=test,C:\zbx\test.bat # test.bat contains "echo 1"
UserParameter=test1,echo 1

All fine
3. Define UserParameterDir and new UserParameter

UserParameterDir=C:\zbx
UserParameter=test2,.\test.bat

Result:

ZBX_NOTSUPPORTED: Cannot execute command: exec: "C:\\zbx\\cmd.exe": file does not exist

when you trying to run any user parameter
Expected:
All should work fine. No issues on Zabbix Agent (C) 5.4.10