Try running SH5 in administrator mode if you haven't been doing that already. You may also want to change the game compatibility mode to the windows 7 option (I have no problems running this game on windows 10 64 bit but just in case)
Another post also outlined the same issue you are having and "DieReeperbahn" had a simple fix that worked for a few people:
Quote:
Originally Posted by DieReeperbahn
That happens to me all the time. Just press Esc instead of OK. 
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