Just to let others know, I tried again to build the develop-themes branch on Debian (9) stretch x86 (and I'm not in a VM) but this time I deleted every anoncoin directories and started all new. I did follow the instructions and did exactly what is told here https://wiki.anoncoin.net/How_to_build_Anoncoin_develop , except that I did 'git checkout develop-themes' in that case.
Unfortunately the last 'make' command still ends with the scrypt-sse2 error that I already posted, and no anoncoin programs are build.

So my next step is to install debian 8 (Jessie) in a VM and try again.
Sorry to flood here. Should I fill a bug report somewhere? can it be a problem with the chipset of my laptop?