Compile every header by itself as part of "make check"

In legacy/trac#32764 (moved), we need to make sure that some headers include their dependencies (or remove those dependencies), so that clang-format can re-order headers.

We should compile every header by itself, to check that it lists all its dependencies. Some headers contain conditional code, so we also need to compile with and without:

• HAVE_MODULE_* (already in CI, as long as we use the defined from configure)
• {INTERNAL,PRIVATE,EXPOSE} (not sure how to do this in CI, I guess we could script it using grep)