Can't build with system pgm lib

Make reports the following:
— cut —
guido@plato:~/prog/zmq/libzmq$ make -j 6 2>&1 | tee make.out
Making all in src
make[1]: Entering directory `/home/guido/prog/zmq/libzmq/src'
make all-am
make[2]: Entering directory `/home/guido/prog/zmq/libzmq/src'
CXX libzmq_la-address.lo
...
In file included from pgm_receiver.hpp:38:0,
from pgm_receiver.cpp:30:
pgm_socket.hpp:32:21: fatal error: pgm/pgm.h: No such file or directory
compilation terminated.
In file included from pgm_sender.hpp:35:0,
from pgm_sender.cpp:31:
pgm_socket.hpp:32:21: fatal error: pgm/pgm.h: No such file or directory
compilation terminated.
In file included from pgm_socket.cpp:37:0:
pgm_socket.hpp:32:21: fatal error: pgm/pgm.h: No such file or directory
compilation terminated.
— cut —

No OpenPGM support this way.

In the generated top-level Makefile the include and library paths are set,
but not propagated properly to the Makefile in the src directory.