Hi,
The pull requests "Removed deprecated code" here and in urdfdom_headers were merged into different branches:
ros/urdfdom_headers#86, #217
Some headers were removed from urdfdom_headers:master, but the according changes are made in the rolling branch of urdfdom.
So currently using the master branch does not compile because of the "missing" headers. I guess rolling is fine because the headers are installed but not used.
I don't know if the changes were intended for master or rolling, so this is an issue and not a PR.