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