Alright I think I figured it out now.

I have replaced the following in ublox_gps/CMakeLists.txt:

add_dependencies(ublox_gps ${ublox_msgs_EXPORTED_TARGETS})

with:

add_dependencies(ublox_gps ublox_msgs_gencpp)

and I have replaced the following in ublox_msgs/CMakeLists.txt:

add_dependencies(${PROJECT_NAME} ${${PROJECT_NAME}_EXPORTED_TARGETS})

with:

add_dependencies(${PROJECT_NAME} ${PROJECT_NAME}_gencpp)

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I want to let you know, in case someone else has this problem, that if I put the following in ublox_msgs/CMakeLists.txt:

add_dependencies(${PROJECT_NAME} ${PROJECT_NAME}_generate_messages_cpp)

It does NOT compile.  Something must be wrong with using the "generate_messages_cpp" variable for this case.  I can use it in the ublox_gps/CMakeLists.txt file with no problems.  Is this another version problem or a bug?

Thank you guys for your help and guidance.