A symbolic link to libSDL_gfx.so is missing.
When I list all the libSDL_gfx* files in /usr/lib64, only these two files are present:
I fixed the problem by making these symbolic link (the .so file is required for linking files).
The development symlinks are almost always present in the *-devel subpackage. Remove the manually created symlink and install SDL_gfx-devel. That should solve your prolem.