It is important, if you want to move or copy the Macaulay2 files, to move or copy the entire directory tree, so their relative locations do not change.
When
M2 starts up, it locates the files it needs (such as
setup.m2), by first locating
M2 and then traversing the directory tree it expects to find
M2 in. If you copy or move just
M2 (or
M2.exe, under windows) to some other directory, then that traversal will not be successful.
There are other ways to arrange for
M2 to be on your PATH: with a symbolic link, or by adding a directory name to the PATH; see
teaching your shell how to find M2.