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As far as I can tell, x04caf is not part of ACML. It looks like it is a helper NAG routine and you can get it separately. The error you are getting does not seem to be related to ACML.
I agree with yurtesen. The symbol is being called from MAIN, so it may be caused by a progam statement. This is not an ACML symbol. ACML does not include all of the NAG libary routines, and we use NETLIB names for all of the LAPACK routines in our library.
You should be able to build the PGI windows examples using PGI 12.10. Refer to the GNUmakefile for examples of which files to link with and the command line switches used by our examples.