It is not uncommon for developers to forget to set the Build Action to Embedded Resource. This error can be mitigated by adding the following action to the post-build event in your .csproj file.

<Target Name="AfterBuild">
  <Message Text="@(Content)" Importance="high" Condition="%(Content.Extension) == '.sql'" />
  <Error Condition="%(Content.Extension) == '.sql'" 
         Text="Nothing should be marked as Content, check your scripts are marked as Embedded Resource" />
</Target>

You can have DbUp add this script for you via Package Manager Console

PM> Add-DbUpEmbeddedCheck -ProjectName SomeSolution.DataMigration

or alternatively, you could pick the project from the Default project dropdown, and then run

PM> Add-DbUpEmbeddedCheck