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I think you're missing a few things compared to a similar messages package I got working:

• find_package for std_msgs where the header field comes from
• DEPENDENCIES std_msgs in the rosidl_generate_interfaces command (see here)
• Put std_msgs/Header in the .msg file instead of just Header

The relevant piece of your CMakeLists should be then:

find_package(rosidl_default_generators REQUIRED)
find_package(std_msgs REQUIRED)

rosidl_generate_interfaces(${PROJECT_NAME}
  "msg/Num.msg"
  "msg/Complex.msg"
  DEPENDENCIES std_msgs
 )

Then, also put <depend>std_msgs</depend> in package.xml if you haven't already.