There's a couple possible reasons:
vendor/plugins/moonshine? Is the directory empty, or not exist at all? If the answer is yes to both, it's probably as simple as initializing and updating submodules:
git submodule init
git submodule update
Are you using a version of capistrano greater than 2.9? If yes, then try Updating Moonshine.
Capistrano 2.10 removed the task that moonshine was hooking into originally. master has been updated to work around this since ec6931026bc4e4a04b9c7f84b13766391fc02d8d.