Rcpp::depends(RcppEigen), not Depends. Causing it the first time around.
Packages linked to in this way need to be in LinkingTo, as well; if they're not, R, well, doesn't link to them, which is why it claims "oh hang on this header file doesn't exist".
You don't want to be linking to Eigen header files; Rcpp has them internally under the RcppEigen namespace. You just need to depend on and include that, and then use the "using..." preprocessor directive to refer to the actual class/type.
Now you've got a new bug which is NumericVectors can't be thrown into Eigen matrices. Try a VectorXd, I'd guess?
Okay, this fixes the Eigen bugs!
Now you've got a new bug which is NumericVectors can't be thrown into Eigen matrices. Try a VectorXd, I'd guess?