Running the command craft tests/setup results in no files or directories to be copied. When inspecting the source in ./vendor, the path vendor/craftcms/cms/src/test/internal/example-test-suite is empty. When downloading source as ZIP from github, that path is also empty. When doing a git checkout, that path is not empty.
craft tests/setup

I'm also seeing this issue. Temporary workaround is to clone the craftcms/cms repo using git and copy the files from src/test/internal/ into the same path in vendor, like @qrazi noted.
Thanks for the report, all. Fixed in https://github.com/craftcms/cms/commit/5298dbc50d41afee652e276452489fcd16136f3f
Craft 3.5.9 is out now with this fix.