Linking the lib has no influence over those kind of errors (these are compile-time errors, linking only affects the linking part, which comes right after the compiling).
I think there is something wrong with the way you set your include paths.
Obviously Rocket does not expect this. You don’t need to copy anything: you need to have a folder that looks like this:
myfolder/
Rocket/
rocketRenderInterface.h
[and so on]
And you need to add to your include paths the path to myfolder, not the path to Rocket.
And when you include your files, you need to do: #include <Rocket/rocketRegion.h>
instead of #include “rocketRegion.h”
The mistake was to copy files from parser-inc. You should never include the files from parser-inc. Instead, download the Panda3D thirdparty packages from the download page and use the libRocket include files from there.