The actual problem does not seem to be the compiler, but the pre-processor. It should depend on the definition of MYDEF_x86_MMXEXT and MYDEF_x86_SSE. If they are macros that do not expect a parameter, eg:
[cpp]#define MYDEF_x86_MMXEXT() x[/cpp]
It should work and version 11.1 of icpc compiles the code.