That shouldn't happen. Did you manually create the config directory? Or copy one from another ES installation?
The keystore file should be created automatically when you install X-Pack.
The password functionality relies on the keystore existing, as it contains the secret initial password that is used to authenticate the setup command.
You can create a new one (which will automatically have the bootstrap secret) with bin/elasticsearch-keystore create. You'll need to restart ES after you do that (it doesn't automatically reload the keystore).