On my system, I configure and build llvm-dialects with system-wide LLVM headers and the CMake AddLLVM script. I use a standalone build outside of a LLVM tree.
While building dialects itself works, building check-llvm-dialects does not, as the includes are not propagated to this subtarget, so the compiler legitimately complains about missing LLVM includes.
When cloning dialects to a subfolder to llvm (tools), everything works.