This is some kind of a permissions issue. I have it too.

With GooglePlay store the paid applications get first downloaded under /data/app-private directory with a temporary name vmdl*.tmp. Then they would be copied under some other directory with a different name and/or installed. Have to find where android logs stuff.

For time being you can copy them to /data/app directory with the FingerTerm, and rename them as yourprogram.apk. To get the names correct eg. com.something.somethingelse you would have to let the android handle the installation process, but it is not neccessary.