By default when using the Reshade Installer it configs the Effect and Texture search paths to the following:
.\reshade-shaders\Shaders
.\reshade-shaders\Textures
The result is this:
Setting the paths to the FULL directory path fixes this:
\Games\Steam\steamapps\common\Warframe\reshade-shaders\Shaders
\Games\Steam\steamapps\common\Warframe\reshade-shaders\Textures
Not sure if this was intended or just a bug. The only tweak with my installation is I have to set the dxgi.dll to read only in order for it to work with warframe. So perhaps that is why this is occurring?