I'm working on the Mac (Sierra) platform and I had the same problem and I think I just figured it out...
The problem is with Lesson 1, the instructions tell you to delete the Soundbank folder, then when you get to the Generating Soundbank section, it asks you to "Generate" the folder in Cube-cube_soundbank... Unfortunately, now there's no soundbank folder anymore! What it should say is either delete the contents of Soundbank_Mac folder or create another soundbank folder or soundbank_Mac folder.
When I click the "Generate" button, it just dumps the (Init.bnk, Init.txt, Main.bnk, Main.txt, Plugininfo.xml, SoundbanksInfo.xml) data files into the cube folder (or whatever destination is selected). The thing to do now is manually create the Soundbank_Mac folder within the Cube_cube folder and dump those data files in there. Restart Cube and you're good to go.
Another possible workaround is to create a folder called Soundbank_Mac )in the Applications_Audiokinetic_Wwise 2016.x.x.xxxx_Cube_cube folder), then "generate" sound bank in that Soundbank or Mac folder.
The first time I tried "Generate" a soundbank, it created a soundbank folder but never wrote a "Mac" folder (with properties) within soundbank folder. It seemed to have operated differently today but it still didn't trigger the shotgun sound in Cube. I started from scratch today but had different results, no Soundbank or Mac folder and properties ended up in the selected folder Cube_cube or Cube_cube_Mac, it was very confusing. Another problem is the diagram shows the arrow pointing to the "Windows" (...) for selecting destination folder, and it was a little confusing at first, an alternate pic (or explanation) for Mac users might help there.
Maybe it's a weird thing with Sierra or I missed something but I literally followed the instructions word for word, then tried alternatives, and it just never worked. This time I saved the original Cube Soundbank file to compare and noticed that "Generate" wasn't doing what it was supposed to regarding creating the Soundbank_Mac folder.
Hope this helps.