I just realised that there may be a misunderstanding.
The error shows when I run the build and the first scene loads, not when entering play mode in the editor or when I build the build.
Swapping atlases based on screen resolution
JDBB I just realised that there may be a misunderstanding.
The error shows when I run the build and the first scene loads, not when entering play mode in the editor or when I build the build.
Thanks for the clarification, I have indeed overlooked this important part!
(Your reproduction steps list above is also missing "7. Run the built executable and observe the error message in the console" 
).
We've just improved the error message that is given in this case:
Shader "Spine/Special/HiddenPass" not found while loading SkeletonDataAsset" with 0 Atlas Assets. Please add this shader to Project Settings - Graphics - Always Included Shaders, or make sure your SkeletonDataAssets all have an AtlasAsset assigned.
So the issue was just the missing shader which was not found in the built executable which is found in the Unity Editor in play mode.
A new spine-unity 4.2 unitypackage is available for download:
https://esotericsoftware.com/spine-unity-download
Issue ticket URL for later reference:
EsotericSoftware/spine-runtimes2544
Yeah, my bad for sure. I should have been more clear. I did try editing my post to add the 7th step after I realised my mistake but it said that I don't have permissions.
Thanks, I will try adding the shader as suggested.
Looks like it is working great. Thanks so much for the help 
. It's very easy to forget to mention steps, especially those one considers trivial or "clear anyway".