The actual file is stored inside of a sublime-package
file and not present on disk at that particular path (unless you have an override on the file as noted above). So that particular error message is harmless. The command to open the file looks first on disk to see if you have an override, and if you don’t it proceeds to open the file from the package instead.
Also, ST4 will use the ST3 configuration area unless you specifically tell it not to, so that on upgrade you keep your configuration. A fresh install when there was no previous copy of ST3 installed would use a folder named Sublime Text
instead.