Linux kernel source directory with kernel headers is needed to build VTune sampling drivers for hardware PMU-based analysis. If your Linux kernel is >2.6.32 and configured with Linux* Perf support, you can install VTune w/o building sampling drivers, then VTune will collect hardware PMU events in "driverless" mode via Perf tool: https://software.intel.com/en-us/vtune-amplifier-cookbook-profiling-hardware-without-sampling-drivers
If your system is not Linux Perf-enabled and you need VTune sampling drivers, follow instructions from https://software.intel.com/en-us/vtune-amplifier-help-building-and-installing-the-sampling-drivers-for-linux-targets
Installation seems cannot detect your kernel source directory automatically or it's missed maybe.
You can modify sampling driver build options by setting up parameters in Advanced Options -> Driver Build Options dialog.
Make sure to install kernel headers, execute one of the following commands specific to your operating system:
On a system with the default kernel, install the kernel-devel package:
yum install kernel-devel
On a system with the PAE kernel, install the kernel-PAE package:
yum install kernel-PAE-devel
zypper install kernel-source
apt-get install linux-headers-4.4.120-94.17-default