This does not look like the right solution. The tests used to work before #57553 without the files being present.

The issue is only on appveyor right?
Then here is why: before #57553, the router cache warmer wasn't triggered, and since routes where never used by these test cases, we didn't need these yaml files. It looks like on Windows, we take the $cacheDir !== $buildDir codepath and we enable the optional cache warmers.
I think we should figure out why these paths are different on Windows and fix that part.
The fact that these yaml files are missing is actually a good thing: it proves that we didn't run any logic to care about routes while routes are unused, which is good for the perf of tests.

The issue is only on appveyor right?

I can observe the same behaviour locally. I will investigate a bit more.

Thank you @xabbuh.