This has been a problem that has vexed me for years, but I finally figured it out. The file is indeed missing from the package, but it seems that it needs to exist outside of the .pak files. After you package up your game:
- Windows - Navigate to your package/ProjectName/Content/ and make a subdirectory “Splash”. In there you can put Splash.png or Splash.bmp.
- Linux - Navigate to your package/ProjectName/Content/ and make a subdirectory “Splash” (case sensitive). In there you can put Splash.bmp (again case sensitive and png doesn’t work on Linux builds).
- MacOS - Seems to just work.