Dependency file not found when building project. SetupFactory 9.0.1.0

I'm using Setup Factory 9.0.1.0 trying to build an installer for a NET 4.0 WPF desktop application. Everything seems fine, but when I try to build the project, I get an error on the build:

Build failed.
-------- Errors ---------
Compressing files...
Error 2090: Dependency file not found: C:\Program Files (x86)\Setup Factory 9\Dependencies\dotnet4\dotNetFx40_Full_x86_x64.exe
--------------------------

And indeed such file does not exist on my machine. In fact, there is no directory named 'dotnet4' in the 'Dependencies' folder. Any clues as to why this is happening? I've tried re-installing Setup Factory a few times and that didn't help.

If I configure the setup project and do not make any NET library a prerequisite, the build goes fine and the resulting setup.exe file properly installs the application. That works because I already know that I have NET 4 on my machine.

Why would I not even have the

C:\Program Files (x86)\Setup Factory 9\Dependencies\dotnet4\

folder on my machine?

Any suggestions are welcome.