There's no requirement that the headers and other components necessary for compiling code against the GDBM library be installed after the compilation is done. Once it's been compiled all that needs to be present to run is the shared library containing the compiled GDBM routines.

The problem you encountered is more due to the Linux distributions splitting libraries like this into two components (e.g. gdbm and gdbm-devel). If you'd installed the complete GDBM distribution from source it would have worked find (and it did, once you got around the bizarre lack of a bin user and group and installed the headers; really you probably could have just copied the headers to /usr/local/include and you'd have been good). A typical "developer" install of something like Fedora would have had both packaged components to begin with and likewise GDBM_FIle would have compiled fine.

As for the OS X case, I don't see libgdbm installed on my box in any form. If you had part of it the only thing I can think of is that you again installed just the runtime shared libraries using something like Darwin Ports or Fink. But similarly, OS X isn't really a full *NIX development environment out of the box without user intervention (in the form of Darwin Ports or Fink).