Try adding an include <wx/choice.h> to file advancedcompileroptionsdlg.cpp.
If that does not work, it could be as you think an error in setup.h, but that is rare. While missing includes are common.
Tim S
Index: src/plugins/compilergcc/advancedcompileroptionsdlg.cpp
===================================================================
--- src/plugins/compilergcc/advancedcompileroptionsdlg.cpp (revision 4699)
+++ src/plugins/compilergcc/advancedcompileroptionsdlg.cpp (working copy)
@@ -1,6 +1,7 @@
#include "sdk.h"
#ifndef CB_PRECOMP
#include <wx/checkbox.h>
+#include <wx/choice.h>
#include <wx/combobox.h>
#include <wx/intl.h>
#include <wx/listbox.h>