First, Umbra's generated assets need to be copied into Assets/StreamingAssets folder of the Unity Project.
Open Build Setting under File-menu
Choose the settings as shown in the image below, and then press "Switch platform". Note: Unity might throw this dialog behind the main editor window after you make changes, because, of course.
When you switch platform, the Umbra Runtime object is reconfigured automatically to use Hololens-specific shaders, as shown in the image below.
The Size Limit and Size Unit is recommended to be set to 200 MB. The Input Location has changed to ./ which maps to the Assets/StreamingAssets folder mentioned above.
In order for content to work well on the Hololens, you need to adjust the Project Quality settings.
The Settings shoud match the picture below to reach the best framerate. Note, these settings affect visual effects applied in the Hololens, and do not influence the quality of the data generated by Umbra. It's best to deselect all the quality levels bar fastest in the Windows Store column, and make sure the settings are as per below.
It's also a good idea to set the Fastest as the Default by clicking the little black arrow abd choosing fastest.
Finally, click Add Open Scenes in the Build Settings dialog and then Build and Run.