I found a way that is a good compromise yet not very elegant.
Apparently we can check values of Property Pages settings in Build Events. After discovering a macro named UseIntelMKL I decided to tie a config.h to the value of it accordingly, and use the preprocessor directives defined in this config.h instead.
Here is roughly the script that acts as Pre-build Event. I am basically defining __INTEL_MKL__myself in config-mkl.h.