I can kind of see the logic of why you're getting that, though I see that you wanted a "do what I mean, not what I say" sort of thing here, right? You're chaining calls together, so it expects the call to Request and will fail if you call AppRelativeCurrentExectionFilePath on that.
I wonder if that's technically what's going on behind the scenes when you mock a chained call, too. Like, if it's actually creating two mocks for you in a row - the Request, then the AppRelativeCurrentExecutionFilePath - but you never notice it because that's how you call it from your code.
I think it should have done what you meant, not what you said. Like maybe when it sets up the internal Request mock (assuming that's what's happening) that it should also set it so Verify will pass if it's not called.
Sounds like an issue for Typemock folk!