Great answers from Ana-Loredana Gabur, but just to answer this question specifically:

Elevate Autumn 2021 said:

What is a dependency file?

A dependency file is normally the original source file that was used to create the SDLXLIFF you are translating.  If you get the message that it's missing this is normally because of these things:

1. the project package was created from a project that did not include the original source files in the source language folder
2. the source file was so large that it was excluded from being embedded into the SDLXLIFF and you have been provided with the SDLXLIFF files on their own

The control for including the dependency file is based on the SDLXLIFF filetype settings here:

The default is 20MB.  So if the source file is larger than this it will not be embedded into the SDLXLIFF file itself.  So if you are sharing the SDLXLFF alone and want the translator to be able to use quick inserts, preview a file etc. then you need to provide the original source as well as the SDLXLIFF.

I'm clicking No for each file in projects I receive. Since after clicking No the file opens without problems and I can complete the project, it seems that this question is useless and is just wasting my time. 

I'm clicking No for each file in projects I receive. Since after clicking No the file opens without problems and I can complete the project, it seems that this question is useless and is just wasting my time.