Turns out for this library I had to do it manually:
"The problem is the structure of that zip file is does not allow it to be installed via Sketch > Include Library > Add .ZIP Library. You need to do it manually:
Copy the folder PID_AutoTune_v0 from the downloaded zip file to {sketchbook folder}/libraries. You can find the location of your sketchbook folder at File > Preferences > Sketchbook location.