Yes, the dkh is only one file, so efficiency considerations are minimal.
A lot of the complication in Intel link libraries comes about when mixing languages. In Psi4, C++ is the primary declared language, then if Fortran is used, the build must add extra libraries. Molpro and CFour are Fortran only, I believe. Dirac is mixed C++/Fortran, but either their primary is Fortran or they have their CMake files set up better than ours.
I've made a ticket (https://github.com/psi4/psi4/issues/297) to try out these mixed-vendor compilations, though it probably won't be addressed soon. I think gfortran for dkh for now.
(Link is mostly for my benefit to keep it associated with this topic.)