This problem is still present in the latest version of R and has been
reported upstream:

  https://bugs.r-project.org/bugzilla/show_bug.cgi?id=16512

--- R-3.2.0/src/library/stats/src/Makefile.in.orig	2015-08-17 13:40:12.041006229 -0700
+++ R-3.2.0/src/library/stats/src/Makefile.in	2015-08-17 13:40:42.269423314 -0700
@@ -12,6 +12,7 @@
 R_HOME = $(top_builddir)
 ## for $(R_HOME)/etc${R_ARCH}/Makeconf
 R_SHARE_DIR = $(R_HOME)/share
+R_INCLUDE_DIR = $(R_HOME)/include
 
 SOURCES_C = init.c kmeans.c \
   ansari.c bandwidths.c chisqsim.c d2x2xk.c fexact.c kendall.c ks.c \