It looks like for nativesdk-libsemanage we have implicit dependency on native-python so recipe-sysroot-native populated with python header. But recipe looks for recipe-sysroot for headers.
Adding python3 to dependencies fix this issue: -DEPENDS = "libsepol libselinux bison-native swig-native" +DEPENDS = "libsepol libselinux python3 bison-native swig-native"
But I'm not sure this is right and probably issue is in global problem of yocto + python cross compilation issues.