This issue has been discussed by another already (in Android Studio) but I will quickly summarize the issue as it should be quite similar using IntelliJ. Thanks to Mike Hill this will remedy your problem. Here is his answer Could not create parent directory for lock file
The issue you discussed appears to have been caused by using the "Use gradle 'wrapper' task configuration" option in IntelliJ..this option causes IntelliJ to override the Gradle wrapper task (which is sort of expected).
The solution that Mike Hill suggests is to select "Use default gradle wrapper (recommended)" instead. Seems that this caused a conflict with the customized GRADLE_USER_HOME environment variable in IntelliJ for the directory where the final wrapper files actually get stored.
He then provides an absolute path example which may be what is throwing the error for you as well.
Gradle was trying (and failing) to create C:\ProgramData\chocolatey\lib\gradle\tools\gradle-4.5.1\wrapper\dists\gradle-4.5.1-all\87kuriyahurjjkki3zii366f2\gradle-4.5.1-all.zip.lck when run through IntelliJ, although his system uses the file C:\work.gradle\wrapper\dists\gradle-4.5.1-all\87kuriyahurjjkki3zii366f2\gradle-4.5.1-all.zip.lck when working correctly.
Switching and then running the Gradle refresh through IntelliJ seems to have fixed it for Mike. It also succeeds when switching back to "Use gradle 'wrapper' task configuration", now. Hopefully this helps you out Tim!