Ok so I got it to work in the end. For some reason adding the path via the current folder window does not work (left click, add path, include all subfolders). Instead, using addpath and genpath allowed it to work. I don't know why the command works and the manual point and click operation doesn't, but it finally works. Regardless, it was working only with the tests, but without it, it did not. I believe, although don't remember 100%, that my installation with mosek had the same issue.
TLDR: You may want to use addpath and genpath instead of left clicking and adding the path, if you have this problem.