Not really. Like I mentioned, this project compiles fine on my local machine, so I must have installed something there that is not being installed on AppVeyor, but I have no idea what it is. According to the AppVoyer docs, DX should be installed.
OK, I figured out the problem, and as expected, it was something stupid on my end. I had some old debugging code in that was including the wrong dx .h files. I'm a Mac coder, so my VS skills are basic and I failed on simple searching the project.