The default windows SDK that MPIR will use depends on the version of Visual Studio that you are using. With Visual Studio 2019 the default is the Windows 10 SDK. You can, of course, change the default if you wish to use a different version.
The error you mention is a build error and is not likely to be caused by the version of the SDK you are using.
You need to check if the Visual Studio solution includes one of the files add_err1_n.asm or add_err1_n.c and, if it does (as it should) you then need to check why the object file is not being produced.