The Project Generation page (https://libgdx.com/wiki/start/project-generation) contains a direct download link to gdx-setup v1.12.1 (jar file), which is an old version of a deprecated project.
There is a newer continuation/fork of it: gdx-liftoff (https://github.com/libgdx/gdx-liftoff).
I scaffolded a Desktop + Web (GWT) project using gdx-setup and spent hours trying to get html:dist or html:superDev to run, only to realize later that gdx-setup is deprecated in favor of gdx-liftoff.
Suggestions:
I would make these changes myself, but I'm just getting started with libGDX and have no idea what I'm doing :p