The lack of nvml.h was an oversight in the packaging step. I ported the fix (plus a few other fixes) to the GitHub mirror of nvidia-settings, so you could build from that or cherry-pick the fix as a patch in your Gentoo ebuild.
Alternatively, you could use the pre-built binaries from the .run package.
All the changes I pushed on Friday:
These fixes should all be in the next official release.