Unless I'm missing something, there's no error in this behavior. The following URI:
file://orion/users/owner/eelko.tiff
corresponds to a relative path. The path is relative because if we remove the scheme specifier token (file://), the result is:
orion/users/owner/eelko.tiff
which is correctly interpreted as "something under the 'orion' subdirectory of the current directory". The current directory for the PixInsight Core application is "C:/Program Files/PixInsight" in your example.
If on the other hand the URI was:
file:///orion/users/owner/eelko.tiff
(note the three slashes) then the path would be absolute and PI would expect an "orion" subdirectory of the root directory.
So this is normal (and correct) standards-compliant behavior in PixInsight.
On the other hand, the URI you've used doesn't follow the Windows Uniform Naming Convention (UNC). A UNC path —which is a Windows-only thing— is any path starting with two backslashes (or forward slashes, as Windows treats both equally in this context). for example:
\\FooServer\FooSharedFolder\path\to\foo.bar
is a valid UNC path.