Yes you need the installation media back in the virtual DVD drive (aka going back to the hyper-visor management, hunting down the DVD, switching it in) and the you need to Google the dism command to manually install because the normal ways won't actually find the .NET sources,...
But in the end Microsoft wants to see .NET 2.0 die, and newer .net version are available by default and updating the code should be easy? (no?)
This is simply an UX defect in that it requires more work and makes Jenkins look bad because it requires an ancient version of .NET.
The point of this improvement request is to make creation of a Windows node easier.
There is a list of about 20 steps that need to happen before Jenkins and Windows are happy together. Making this simple improvement will eliminate 2 of them.
Using the current Jenkins build, trying to connect to a node which does not have the old version of .NET shows a connection log that just hangs on "starting service". Trouble shooting is not straightforward for the novice Jenkins user.