Doesn’t the installer have these or similar options under Ubuntu?
@SchrodingersGat, @cbernardo, @jwpartain1 or @bobc might know what’s going on.
I can only imagine the library organization got changed from what 4.06 expects, but I wouldn’t know for sure as I neither use those libraries or the stable release of KiCAD.
PS: if you want to go manually about it you just have to go here and download what you need.
.pretty contain the footprints and under kicad-library you’ll find the symbol libs.
Then it’s just a matter of it either working out of the box (if you placed the ‘missing’ files in the correct locations) or doodling around with the library setup dialogs/wizards to set up the paths to the libs.
Unfortunately schematic symbol libraries and footprint libraries behave differently.