Where is 'first scene' settings?

I started from blank template, added a scene, and pressed Cook & Run button.

Log says:

[Error] Missing first scene. Set it in the game settings.

But there is nothing like default scene setting I could find in Project/Content/Settings/…

I tried ‘Set current scene view as project default’ in Tools menu, but nothing changed.

Found ‘Game Settings’ from Project/Content, separated from other ‘Settings’ subdirectory.