Thanks for the report. The missing directory / files are provided by the package greenbone-security-assistant, not gsad. I will add greenbone-security-assistant in Recommends.
FTR I uploaded a new version of greenbone-security-assistant but it had to be validated before entering in Unstable. For various reasons the package greenbone-security-assistant is now in non-free (https://bugs.debian.org/cgi-bin/bugreport.cgi?bug=1017941) I also planned to improve the "gvm-check-setup" to check the presence of the missing files. Sophie