Ok, so before linking I copy all of the DLLs from a directory into the target directory. It solved the all the errors in the release configuration. The building of the project is successful and the Local Windows Debugger does not write any warning into the console window.
However, in debug configuration the Local Windows Debugger is still complaining that it can’t find the required dll-s in their ORIGINAL location (not in the solution folder). Why would it even search for those DLLs in that location? Does Windows Debugger run from somewhere else?