When compiling with [make world opt], [make install] does not install ocamlbuild.cmx. When compiling with [make world opt.opt], this file is installed properly. It seems this should be installed in both cases.
The defaultentry in the Makefile echoes the following:
@echo "Please refer to the installation instructions in file INSTALL."
@echo "If you've just unpacked the distribution, something like"
@echo " ./configure"
@echo " make world"
@echo " make opt"
@echo " make install"
@echo "should work. But see the file INSTALL for more details."
This suggested build sequence causes the problem I noted, and maybe should be changed.