As far as I understand are there two configuration files for the package, one is read only and is part of the package itself. And user configuration should be added in a user specific configuration file.
As the backslash is special character it must be masked, in this by the same char. Spaces in the file path must be masked also be a backslash.
Another detail might be the variable: "JULIA_SSL_CA_ROOTS_PATH".
Is it helpful to define this variable via startup.jl?
See: updating-julia-packages-from-sublime-text
And now come two other questions:
Is there Julia-REPL inside sublime text 4?
How to execute a Julia-script from inside sublime text 4?
P.S.:
Meanwhile I found:
HowToUseJuliaWithSublimeText3
But this might be outdated, is there something similar to get started with sublime text 4?