Okey so I noticed in the solution in Visual Studios that the file was actually missing, but I find it in windows explorer.
So what I did was to navigate too:
…\Engine\Source\ThirdParty\WindowsMixedRealityInterop
And open the sln file.
In a readme file it stated to build for all the following: MixedRealtityInterop x64 debug and release, MixedRealityInteropHoloLens x64 and arm64 debug and release.
This actually made it work, when I now build the UE4 it completed. The only question is if this was the correct way to do it?
Since when I now try to make an appx bundle in the editor it gives me a new error:
“Signing key not found. The app could not be digitally signed, because the signing key is not configured.”