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Unlike pdflatex lualatex doesn't trigger the tfm generation from a mf-source if it can't find the tfm (this is not miktex specific: it doesn't do it in texlive either, but there bbold10.tfm exist in the main tree while miktex installs only the mf-sources).

So in miktex one has to first call pdflatex which triggers the creation of the tfm and can then use them with lualatex.