Installing OpenMP-enabled XGBoost
I know this is old, but I had the exact same error as you and here is what I did to solve it.  I edited the first few lines of the config.mk file yopu are copying to be

export CC = gcc-7
export CXX = g++-7


because you are using gcc 7.1

Then you can finish making and building as you can find in many tutorials (e.g. https://stackoverflow.com/questions/39315156/how-to-install-xgboost-in-python-on-macos)