Please see Installing ruby gems in Sketchup - #19 by MSP_Greg
That message refers to installing another gem. Ignore step #1, as the dll issue doesn’t affect sqlite3.
As to the gem, it is located at:
https://ci.appveyor.com/project/MSP-Greg/sqlite3-ruby/builds/24263868/artifacts
titled:
sqlite3-1.4.0.mspgreg-x64-mingw32.gem
It needs to be downloaded.
So, once you have the gem and su_utils.zip downloaded & extracted, in the SketchUp Ruby console::
require '<path>/su_gem.rb'
SUGem.install '-lN <path>/sqlite3-1.4.0.mspgreg-x64-mingw32.gem'
You should be able to use SQLite3 with SU2019 or SU2017/18.
The gem is compiled statically with SQLite3, so no ‘DevKit’ or additional installation is needed.