Just for reference, I downloaded the prebuilt zip for Debian and both the CD and GOG versions behave the same.
Here's the messages I get when MonkeyUpdate.exe and monkey4-patch.m4b are both missing:
- 2.png (4.77 KiB) Viewed 3800 times
- 3.png (2.5 KiB) Viewed 3800 times
- 4.png (3.04 KiB) Viewed 3800 times
- 5.png (8.85 KiB) Viewed 3800 times
The URL in the first message now just shows a page saying "Datafile information has moved: For a comprehensive list of required data files, see the ScummVM wiki entry for the game you are adding. Search the wiki, or see a list of all supported games here". It's easy enough to find the right page from the search box though. For some reason that message only shows the first time I try to run the game. If I run it again before adding MonkeyUpdate.exe it doesn't show. Starting the game after adding MonkeyUpdate.exe does as I described in the OP.
If anyone is planning to make it a bit clearer I'd suggest removing the first message (with the dead link), removing the second message and adding the file name to the third message (as well as adding a message describing how to link monkey4-patch.m4b). At first I thought monkey4-patch.m4b might be contained in MonkeyUpdate.exe which made things more confusing!