Although I am the PC admin, the command worked only when I open the Matlab in Admin mode (right-click >> open as adm). Since this code is for a deployed application, my deployed application is also able to install the *.exe only if opened as admin.
Now, why I the 'system' function worked installing the *.exe from the PenDrive (an only from the pen drive) without mode restrictions for me, is a mystery (in terms of security, somewhat contradictory).
At the end, I understood that the system() function and the CMD have distinct permission executing the same command. Good to know.