this drives me mad too. My old machine went thorugh about 3 different Cubase versions along with Halion, Halion sonic, HSO etc etc. When I built a new DAW I had exactly the same problems with missing samples and even now I’ll get it when I load something new.
I agree that there should be a full installer that contains everything. It’s no good having to trawl through disks going back to Cubase 4 just to get your library Installed.
MC
Thank for the link but 10 - 12 days of dl…I don’t think so, lol!
Would appear that SB have now provided this (@ 25 March 2015); 10.3 GB, am downloading, yet to install:
The HALion 5.1.10 Full Version. The full installer available here allows for a new installation of HALion 5. No previous installations are required. HALion 5 Updates and Downloads | Steinberg
Yep, the HALion 5.1.10 Full Version does the trick. `no more missing libs. HALion 5 Updates and Downloads | Steinberg
Just an added tip… I throught the Halion Sonic 2 Content trick did it after a clean reinstall… but it seemed I was still missing some HALion Sonic content… the message only shows when selecting the specific sound (missing sound archive, wavs were missing from the preset)… getting hold of two downloadable HALion 5 iso’s did the trick finally (NOT the latest installer on the dl page!)… HALion Sonic content was still in need for an update… This especially is the case when having bought CB7.5, then Abs VST collection + upgrade, then the HALion5 upgrade.
Check with support for links for the HALion 5 full installer… might take a while though as I understood that the support crew is quite busy… 
In case someone stumbles across this post, this is how I solved the problem…
In Windows 10 (should work in 7 and 8), there is a folder that all the .vstsound files need to reside in to work:
C:\Users-- user name here–\AppData\Roaming\Steinberg\Content\VST Sound\
I discovered this when I created a second user account for me on this a newly loaded computer. When I logged into the new account, I got the HALion Sonic SE “Some audio files are missing” message. I searched the C: drive for VSTSOUND and discovered the FCP_SMP_xxxxxx.vstsound files that existed under my old account but not in the new account profile’s folders. So I copied them all over to the Roaming\Steinberg folder from the first profile’s folders noted above and re-launched Cubase. No more error.
Hope this might be helpful sometime. I see the original post is very old.
On importing giga samples…
Don’t forget that you can build VSTsound files that have the samples archived in with the patches if you want to do it that way.
In short, you can have Presets that point to samples somewhere on your system using absolute paths…
Or you can build a multi using the program tree and save all that as VSTsound file including samples. Of course you need to make sure Media Browser knows about the location of your self created VSTsound archives.