I seem to be unable to build BayesianKit in XCode 4. It complains that it is unable to find ParseKit, however I have init/updated the submodules, and ParseKit seems to build fine as well. The only option I changed was in the Scheme from building for Debug to Release.
I was able to get it to compile by removing ParseKit from Target Dependencies and Link Binary With Libraries, and then simply adding it again. Odd.
Link Binary With Libraries