Bug 106 is marked as fixed in bugziilla, but I still get the same error when compiling against Gambit 4.6.0. Also, adding the macros to the gambit.h file by hand fixes the problem:
http://www.iro.umontreal.ca/~gambit/bugzilla/show_bug.cgi?id=106
Also, it looks to me like the latest gambit.h.in in the git repository doesn't have the macros defined either.
repleffect