The dependency is not include because you don't create a distribution of you project. In Maven it is called an assembly.
If you call your application directly from the commandline it is not a matter of Gradle.
Anyway there is a Gradle plugin which creates a distribution and adds shell scripts to execute your application.
So when you add the following line to the gradle script.
apply plugin: 'application'
you will get some new tasks to create a distribution.