The skeleton data and images are mostly separate. For region attachments the image sizes are stored in the data, but otherwise everything else in the data is separate from the images. That it can't find images should just be a warning. At runtime you'll have course need the images.
What you did looks right. You can also do it via the editor UI, but using the CLI is fine and can enable you to process many files this way automatically.
What version of Spine does Godot 3.5.3 require? You export the binary data using 3.7.xx. If you are using the latest spine-godot runtime in the 4.1 branch, then it requires 4.1:
EsotericSoftware/spine-runtimestree/4.1/spine-godot#spine-version
The editor version used to export must match the runtime version:
http://esotericsoftware.com/spine-versioning#Synchronizing-versions
You can export the .spine project file for 4.1:
& 'C:\Program Files\Spine\Spine.com' -u 4.1.xx -i old_spine.spine -o . -e export.json ;
However, when upgrading a project, especially from such an old version, I suggest checking it in the editor UI to be sure the animations look correct.
