SSIS: To run the package outside of SQL Server Data Tools you must install expression task of integration services or higher
When you run the package from msdb it executes on the machine that you are running it from.

(Unlike packages stored in the 2012+ SSISDB catalog where executing them spawns an execution process on the Server itself).

You must have installed SQL Server Integration Services onto your own machine from the SQL Server installation media, whereas your colleague hasn't. If Integration Services isn't installed you are restricted to running packages in SSDT. Executing packages that run locally with dtexecui will fail.