This issue arose because, like most R users, your default library path points to your user folder instead of RRO. The MKL installer was expecting it to point to RRO.
To get MKL working on your system:
1. Please uninstall MKL. This way we'll start with a clean slate.
2. Reset the library path for the current session, type:
.libPaths("/usr/lib64/RRO-3.2.0/R.3.2.0/lib")
(Tip: To make this change permanently you'd have to put this in your usr/lib64/RRO-3.2.0/R-3.2.0/etc/Rprofile.site)
3. Install MKL again.
Let me know if that fixes the issue for you.
Josée