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I would suspect that something is missing in your environment and due to that the nsis packaging project isn't generated.

Re-run the CMake generation step and look for missing (optional) items. The main things that come to mind are nsis itself and the vc_redist installer and possibly the documentation build tools.

If you attach the output of the CMake generation step we might be able to spot something.

Note that your msbuild command line isn't as specified in the Developers Guide section on Building an Installer. You're free to build however you want, but straying from the "one true path" may lead to build issues that are hard to track down because the folks that try to support you never do these odd random things.