FWIW, 

I had the same experience - updated to 10.14.4 and got a Command Line Tools 
update and then found /usr/include wiped clean. 

From my installation log, it looks like these two items

        macOS 10.14.4 Update
        Command Line Tools (macOS Mojave version 10.14) for Xcode

have the same timestamp followed by another 

        macOS 10.14.4 Update

about 20 minutes later (which I think is usual looking at earlier updates).

I've not updated Xcode per se for a very long time. The files in the Xcode.app 
directory are all time-stamped from 2016. In fact, I cannot even start the 
Xcode.app - it may need to be reinstalled.

---

I fixed things just as others have reported, viz by running the "sudo installer 
-pkg " idiom from the install and admin manual appendix C.3, "As from macOS 
10.14 (‘Mojave’) an additional step is needed ..."


HTH,

Chuck

> On Apr 4, 2019, at 1:58 PM, Simon Urbanek <simon.urba...@r-project.org> wrote:
> 
> Roy,
> 
> great, thanks, I'll try to replicate that. I'm really surprised that an 
> upgrade would delete headers - that's very unfriendly to say the least ;). I 
> did upgrade Mojave but I did not upgrade Xcode (newer version tend to break 
> more and more things) so that's maybe why I didn't see it.
> 
> Thanks,
> Simon
> 

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