When I run Setup.sh on 4.22 source from GitHub, I’ll get:
$ bash Setup.sh
Registering git hooks... (this will override existing ones!)
Fixing inconsistent case in filenames.
Setting up Mono
Checking dependencies...
Updating dependencies: 0% (0/41479)...
Failed to download 'http://cdn.unrealengine.com/dependencies/2489400-f6cf8f7e3aa44b46b137c223b0724bd6/02f911003167be7b08c3fbf9bdababa124958f48': libc.dylib (DllNotFoundException)
Result: 1
It does not happen with 4.20 and 4.21.
UPDATE: Today I pulled the latest code from GitHub and now I am getting:
Failed to download 'http://cdn.unrealengine.com/dependencies/UnrealEngine-4695293-7c9ba01492404dde9b3e7fbd27ede470/026c79c34842bdb82b8e333008adc73ca770d6db': /opt/UnrealEngine422/Engine/Binaries/ThirdParty/Mono/Linux/lib/../lib/libMonoPosixHelper.so (DllNotFoundException)
I guess its still too experimental and cannot be built from the GitHub source. I hope it gets resolved soon.