Thank you for the detailed answer that put me on the right track!
If someone will get error message like "Could not download NuGet.exe" after the command "./build.ps1 --target=CreateSettings", please make sure that PowerShell is using correct encryption. For me following code snippet did the trick.
# Set TLS 1.2 (3072), then TLS 1.1 (768), then TLS 1.0 (192), finally SSL 3.0 (48)
# Use integers because the enumeration values for TLS 1.2 and TLS 1.1 won't
# exist in .NET 4.0, even though they are addressable if .NET 4.5+ is
# installed (.NET 4.5 is an in-place upgrade).
[System.Net.ServicePointManager]::SecurityProtocol = 3072 -bor 768 -bor 192 -bor 48
Write-Output 'Unable to set PowerShell to use TLS 1.2 and TLS 1.1 due to old .NET Framework installed. If you see underlying connection closed or trust errors, you may need to upgrade to .NET Framework 4.5+ and PowerShell v3'
That I put into the "build.ps1" file, right after line: Write-Host "Preparing to run build script..."