Please make sure you are linking according to the link-line advisor (http://software.intel.com/en-us/articles/intel-mkl-link-line-advisor/). With MPICH2 it also helps to use the same compiler for both MPI and the executable.
Also it's highly recommended to use examples located in folder mkl/examples/cdftc.
As you recommended, I recompiled the MPICH2 using icc (Ver 12.0.2). The cluster 2D FFT example now runs without any error messages. I still need to check whether the numerical results are correct. Thank you very much!
The link option is -L/opt/intel/mkl/lib/intel64 -Wl,--start-group -lmkl_cdft_core -lmkl_intel_lp64 -lmkl_intel_thread -lmkl_core -lmkl_blacs_intelmpi_lp64 -Wl,--end-group -liomp5 -lpthread