Lastly, choose "Select SD Card". The app needs access to write to the entire SD card. Not giving the app access to the entire SD card will result in an error. Clearing the cache of the application requires you to grant access to SD card again.
Starting in Android 5.0 we're able to write to the SD card by granting applications permission. To prompt any JRT Studio application to grant access, attempt to write/edit files (songs) on the SD card.
In Rocket Player:
Delete a song from the SD card (Long press song - Delete)
Use SD card Base Directory (Settings - WiFi Sync - Use SD card base directory)
Note: All applications that attempt to write to the SD card need to be granted access before they will be able to write/edit the SD card. You'll need to grant access to multiple applications, if you have multiple applications attempting to write/edit the SD card.