The GenerateProjectFiles.sh didn’t download or extract these automatically. I had to manually download the zip files (following the “Getting up and running” steps from https://github.com/EpicGames/UnrealEngine ) and then extract the files on top of the fresh checkout.
This step allowed me to run the GenerateProjectFiles.sh through… Compiling the Unreal editor still hangs, but that is another problem. This solution solves this particular problem at least for me. 