Visual Studio no longer supports macros, so the answer in the following question is only valid for previous releases:
Report error/warning if missing files in project/solution in Visual Studio
Is there a way for Visual Studio 2012 / 2013 to report an error/warning when you build a solution that has missing files?
I've modified Sergey's script to recursively handle folders.
Update: Added a message box popup for each project that lists missing files as suggested by Thomas Svensen in comments
Update 2: Now writes missing files to the output window and as an error in the error list. This doesn't cause a failed build, just a line in the error list.
With regards to breaking the build when missing files are detected, the closest I have found is to cancel the build (in conjunction with the OnBuildBegin event) using the following:
Based on VS macro code you referenced, I've created an extension for Visual Commander to report warning: