I found the ARMCM4.h file in the CMSIS library package downloaded from ARM in:
Device/ARM/ARMCM4/Include
And then managed to reference that include path in my project and then add the reference to the ARM math library as included in the KSDK for the linger and get my app to compile and run.
This seems to work when I cut and paste some of the ARM CMSIS example code in my app.
Nevertheless I find it strange that the KSDK contains the ARM CMSIS-DSP source files but not the required ARM header files to compile these?
Seems like a bug in the KSDK to me.