That dll is supposed to come with Windows, but it does not in some versions. Just type the dll name in Google and you will find plenty of pages to download it from.
I don´t think that´s the reason... the Dauntless in UE didn´t have a fly through bay and landing cutscenes worked out just fine.
Fly through bays do not make sense for the Concordia... However, it´s a great model.