Be more verbose when `get-dependencies.sh` fails

[lucianojoublanc-da]

The script checks:

      # Check if the dependency exists in the following order :
      # 1 - cache
      # 2 - GitHub
      # 3 - local build

However, when it fails to find one, e.g. in GH, it will not report this. It will only report the last failure, in this case the local build.