Recipe:
In your ~, you have a directory `helloworld' in which there's a file
called `foobarbaz'. You don't have a directory named `demaille'.

$ emacs -Q
M-x partial-completion-mode RET
C-x C-f ~/demaille/akim RET
 (message: Use M-x make-directory RET RET to create the directory and
 its parents)

C-x C-f ~/hell/foo TAB
 (*error*: shell-command: Setting current directory: no such file or
 directory, /home/micha/demaille)


This is due to a call to `call-process' within a buffer created after
the `akim' one, from which it takes its default directory.

I propose the following change, which AFAICT, fixes the bug: