Matteo,
I may have found it. It is not as broken as I feared. At the end of
RcppArmadilloConfig.h we have
// R can be built with its own Rlapack library, or use an external
// one. Only the latter has zgesdd, a complex-valued SVD using divide-and-conquer
#ifdef WIN32
// on Windows we do not assume ZGESDD
#define ARMA_DONT_USE_CX_GESDD 1
#else
// on the other OSs we test via LAPACK_LIBS (in configure) which
// updates this include file
#include <RcppArmadilloLapack.h>
#endif
so it was supposed to only include the library RcppArmadilloLapack.h if NOT
on Windows. Somehow your configuration has undefined WIN32.
We need to figure out why / who / where and correct it, and / or find a
better #ifdef here.
Dirk