As mentionned in the INSTALL files, the default OpenColorIO configuration files must be downloaded and unpacked at the root of the Natron source tree, using something like:
curl -k -L https://github.com/MrKepzie/OpenColorIO-Configs/archive/Natron-v2.1.tar.gz | tar zxf -
mv OpenColorIO-Configs-Natron-v2.1 OpenColorIO-Configs