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When building console applications, there are no forms to add components to and therefore Visual Studio may not create the license file automatically.
If you are building a .NET Core console application, the runtime license is generated automatically from the NuGet build scripts. Also, you may create the runtime license manually or by command line. See Create a Runtime License.
If you are building a .NET Framework application, you may create the licenses.licx file manually. In such a scenario, follow these steps: