The egExtensions_auto_include.h and egExtensions_auto_install.h files should be generated automatically by CMake. Could you check if they exist somewhere in your repository folder, after running CMake? Perhaps the files exist and just couldn't be found by the compiler, or they haven't been generated by CMake.
They contain only the following lines if you have decided to compile the terrain extension together with horde:
egExtensions_auto_include.h
Code:
#include "Extensions/Terrain/Source/extension.h"
egExtensions_auto_install.h
Code:
installExtension(Horde3DTerrain::getExtensionName, Horde3DTerrain::initExtension, Horde3DTerrain::releaseExtension);
If you decide not to use the terrain extension, you could either just remove the includes or create empty files.