When building console applications, there are no forms to add components to, and therefore Visual Studio won't create a licenses.licx file.
In these cases, create a temporary Windows Forms application and add all the desired licensed components to a form. Then close the Windows Forms application and copy the licenses.licx file into the console application project.
Make sure the licenses.licx file is configured as an embedded resource. To do this, right-click the licenses.licx file in the Solution Explorer window and select Properties. In the Properties window, set the Build Action property to Embedded Resource.