This is an example project for Steve's Unreal Dialogue System (SUDS).
You can find the Script for the dialogue in Content/Dialogue/Dlg_FAQExample.sud. This is imported into Unreal Editor as an asset of the same name, and used as a basis for the runtime dialogue.
There is a VSCode Extension to make editing SUDS dialogue more pleasant.
This is because you haven't cloned the submodule as well - some git clients do this automatically, some don't. If yours didn't, run these commands in the root of the examples repository:
git submodule init
git submodule update
Then build again.