That warning is only emitted when support for Cg has not been compiled in. Something must have gone wrong during compilation; either the build system must have failed to properly detect the Cg Toolkit, or you didn’t specify the location properly. You shouldn’t have to manually override the HAVE_CG preprocessor definition, a failure of its definition must have meant that something else has gone awry.
Perhaps you should verify that the Cg Toolkit (with the accompanying CgGL library) are properly detected by ppremake when you invoke it to prepare the build.