You’ll need to reference the NServiceBus.Persistence.Sql package directly in the projects that contain the sagas. A transitive reference to the package will not work.
This is a limitation of how NuGet works. There is a new feature added in NuGet 5.0 that we could leverage to make transitive references work also, but even if we did that, it’s not supported in VS 2017, so you’d have to be using VS 2019 to take advantage of it.