Thanks James, I couldn't explain clearly at the beginning I guess. I was trying to point D:\Data\moodledata from my config.php to secure it. D:\Data 's permissions was blocking and I was getting "Fatal error: $CFG->dataroot is not writable, admin has to fix directory permissions!" Now it works, and there are no notifications anymore on moodle.
Security and privacy
SECURITY WARNING! (moodledata)
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