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