It's because you added your scenery areas manually, by clicking *inside* the scenery folder, so FSX appends a \scenery at the end of the path, which is a bit out of standard (all default sceneries and all 3rd party sceneries with an installer don't add a \scenery to the path), so GSX gets confused by this, because it appends another \scenery string on its own, since the path usually doesn't end with \scenery.
You can fix this by doing a search & replace to fix all the wrong areas in your scenery.cfg, replacing \scenery with \ (just a backslash) should work. The scenery.cfg is located in C:\ProgramData\Microsoft\FSX\Scenery.cfg, and it's strongly suggested you do a backup *before* editing, in case anything goes wrong with the search & replace.
