Nagios: Could not stat() command file /var/lib/nagios3/rw/nagios.cmd

All debian based distributions seem to have a problem with executing external commands after a default installation.
You might end up with an error like this:

Error: Could not stat() command file ‘/var/lib/nagios3/rw/nagios.cmd’!
The external command file may be missing, Nagios may not be running, and/or Nagios may not be checking external commands.
An error occurred while attempting to commit your command for processing.

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