@jneira found that it happens on our install script project when you have never built it before.

Steps to reproduce:

git clone https://github.com/mpickering/haskell-ide-engine hie
cd hie/install
code .

or, if project is already cloned

cd <path-to-haskell-ide-engine>/install
rm -rf .stack-work/ dist-newstyle/ dist/
code .

where code . is just an arbitrary lsp-client.

In the project hie-install, the cradle Cabal-Helper-v2 will be selected due to the presence of cabal.project.
Simply opening any haskell source file in the project will lead to the described error message.
Error is specifically that a cabal_macros.h can not be found, which is not generated when c-h initialises the project context.
Workaround: use stack build and cabal build respectively to generate this file.

EDIT: adding a hie.yaml works for me as expected even when the project has never been built before.

Originally posted by @fendor in mpickering#47 (comment)

Related issue haskell/cabal#2209.