This header is not available for Mingw (it is available in the gw32 package but it is another story). In principle Scons should not try to build the lyx client because of those missing header. Didn't you fixed that Bo?
I continue to allow building of lyxclient, but failure to do so should not affect targets like install. This is untested though, due to my limited access to win/mingw platform. Will test, and fix soon. Bo