wordpress:latest, 5.5.1 at the moment)/wp-admin/admin.php?page=sensei_setup_wizardConfiguration form or at least a message about properly installed plugin.
Blank page with a grey background and a couple of words in the bottom (WP version)
wordpress:latest with WordPress 5.5.1 and Sensei LMS from master (0b64d2bde876069a9c0d5a15f632d0d3fe9ebca9)

We distribute the package with the built assets. See Setting Up Your Development Environment. For now, I'm marking this as an enhancement request for adding a warning when built assets aren't present.
My mistake, thank you.
Yes, it would be useful to warn in this case.
WooCommerce shows the following notice if the plugin hasn't been built. We could do a similar thing here, where the link goes to https://github.com/Automattic/sensei/wiki/Setting-Up-Your-Development-Environment:

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WooCommerce shows the following notice if the plugin hasn't been built. We could do a similar thing here, where the link goes to https://github.com/Automattic/sensei/wiki/Setting-Up-Your-Development-Environment: