Missing Libraries make no sense
I had downloaded PinChangeInterrupt through Arduino

Sketch > Include Library > Manage Libraries... > Filter your search... > PinChangeInterrupt > Install

I thought this is all I needed but I was wrong. This differs from the popular PinChangeInt library. Ultimately the file names where slightly different which is why my file was showing as missing. I found this out by manually looking at the file names in the library I was trying to used and comparing them against my includes.