Failed to add SharePointPnPCore2016 Package in VS2017

I am trying to add "SharePointPnPCore2016" package from NuGet Package Manager but I get this error:

Failed to add reference. The package 'SharePointPnPCore2016' tried to add a framework reference to 'Microsoft.Office.Client.Policy, Version=16.0.0.0' which was not found in the GAC. This is possibly a bug in the package. Please contact the package owners for assistance. Error HRESULT E_FAIL has been returned from a call to a COM component.

The application where I am trying to add this package is using .Net Framework 4.5.2.

Any thoughts what could be causing this?

Thanks in advance