Numerical simulations of structure formation have recorded a remarkableprogress in the recent years, in particular due to the inclusion of baryonicphysics evolving with the dark matter component. We generate Monte Carlorealizations of the dark matter sub-halo population based on the results of therecent hydrodynamical simulation suite of Milky Way-sized galaxies. We thensimulate the gamma-ray sky for both the setup of the 3FGL and 2FHL Fermi LargeArea Telescope (LAT) catalogs, including the contribution from the annihilationof dark matter in the sub-halos. We find that the flux sensitivity thresholdstrongly depends on the particle dark matter mass, and more mildly also on itsannihilation channel and the observation latitude. The results differ for the3FGL and 2FHL catalogs, given their different energy thresholds. We alsopredict that the number of dark matter sub-halos among the unassociated sourcesis very small. A null number of detectable sub-halos in the Fermi-LAT 3FGLcatalog would imply upper limits on the dark matter annihilation cross sectioninto $b\bar{b}$ of $2 \cdot 10^{-26}$ ($5 \cdot 10^{-25}$) cm$^3$/s with$M_{\rm DM}$= 50 (1000) GeV. We find less than one extended sub-halo in theFermi-LAT 3FGL catalog. As a matter of fact, the differences in the spatial andmass distribution of sub-halos between hydrodynamic and dark matter-only runsdo not have significant impact on the gamma-ray dark matter phenomenology.