Segger Embedded Studio determines the location of the nRF5 SDK through macros. Before building the example, you must first configure the SDK_ROOT macro in Segger Embedded Studio. This is a one time global configuration that will still be valid the next time you open Segger Embedded Studio. The SDK_ROOT variable defaults to an nRF5 SDK 15.0.0 instance unzipped right next to the mesh folder if not set.

The SDK_ROOT macro can be set by navigating to Tools -> Options, then "Building". Under "Build" in the configuration list, edit "Global macros" to contain SDK_ROOT=<the path to your nRF5 SDK 15 instance>. Save the configuration.

The path can be verified by opening one of the source files under the "nRF5 SDK" file group. If the macro was set correctly, the file should open in the editor window. If not, it will show an error message telling you that the file couldn't be found.

For more info on Segger Embedded Studio macros, see https://studio.segger.com/ide_project_macros.htm