Where is the angular-cli package directory?
Angular CLI field value should be something similar to: C:\Users[user name here]\AppData\Roaming\npm\node_modules\@angular\cli as @lena mentioned
The problem: I had an old version of angular-cli installed. Even though I followed the Intellij docs for creating an Angular stub project, and installed the new @angular/cli via npm install, the new cli directory was not present.
The solution: I followed the instruction from updating-angular-cli and this installed the updated @angular\cli directory which then allowed Intellij IDEA to correctly build the Angular module. You have to uninstall old versions before installing the new cli. I was then able to point the Angular CLI field to the above path and the module generated correctly.
As it's written in https://www.jetbrains.com/help/idea/2017.1/using-angular.html#d461255e133, you need to install angular-cli module first: npm install -g @angular/cli
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Once the package is installed, specify a path to it in Angular CLI field. In your environment, it should be smth like C:\Users\andyrh3\AppData\Roaming\npm\node_modules\@angular\cli