When the game starts, it looks for the *.rcd files containing the game objects and the graphics for them.
Apparently, it didn't find them. To prevent that you get a very empty window, it does a few basic checks that some graphics are actually loaded. If not, you get the message you stated.
The solution is thus easy, make the program find the files :)
Most likely, you just forgot to generate them. If you build from the project root, the cmake files should handle this automagically. Otherwise, go to graphics/rcd, and run the build there. It should execute 'rcdgen' (../../src/rcdgen/rcdgen) several times to generate the RCD data files.
The FreeRCT program has a hard-coded path to that directory, so leaving the generated files there should work.