The project XXX is missing Android SDKs required for building

Annoying problem when you create a blank Xamarin Form app for the first time

When you create a brand new app from a Visual Studio template normally you expect that, once creation is over, you can just press F5 and compile the app without any issue, in the end, the project is nearly empty.
Unfortunately if you do this with a Xamarin Form app the first time when you try to compile it, build fails with following message inside Error List window

The project XXX is missing Android SDKs required for building, Double-click on this message and follow the prompts to install them.

Unfortunately, if double click, nothing happen and you’re stuck with the problem, luckily solution is fairly easy: just go to Tools->Options->Xamarin->Android Settings check the Auto Install Android SDKs option, select OK and try double clicking again.

An installation dialog will now popup and missing SDKs will be properly installed.
Happy Android compilation… :-)