The primary issue here is that you have to use a OpenMP aware compiler/linker in order to use OpenMP features. Our library will make calls to the PGI openmp runtimes, and expects openmp startup code to be in place. This is all enabled by the compiler for the main program and the linker. I don't expect that C++ builder can meet these criteria.
Look at the makefiles in the examples folder. These will show the commands (along with the required runtime libraries) necessary to build a working OpenMP executable.
Thank you for confirming the reason is lack of OpenMP support in our development tools.
For comparison, Intel MKL does not have the same limitation. It also uses OpenMP, and can be consumed in multi-threaded way by OpenMP unaware applications. Possibly this is an area ACML could improve.