Are they (preprocessor definitions) compiled into a static/dynamic library? For example, the FBX SDK needs KFBX_DLLINFO. A library that makes use of FBX SDK must include that. Now the client application, as far as I can tell from my limited experimentation, does not need to declare the definition again.
Now I can’t think of a more practical scenario, but what if the client application ‘needs’ the definition to excluded (for example _CRT_SECURE_NO_WARNINGS compiled with a library, but what if I need those warnings?
In short: no.
In long:
For the most part, you can think of preprocessor definitions as a textual substitution mechanism. They are processed before compilation occurs (pre-compilation), so they transform the source code just before the compiler translates it to machine code, intermediate files, or whatever its target is. By the time you have a binary lib/obj/dll/exe/so file, the preprocessor definitions are long gone.
If you include a header in your code that was packaged as part of the library (e.g. in order to reference methods, types, enums, etc. defined by the library), then you are including preprocessor definitions that the library defines in that header.
In your case, if you include an FBX header, you might also be pulling in the preprocessor definition of
KFBX_DLLINFO. The FBX binary library you’re linking against was almost certainly built with that same header, so you are building against the same definition. This is a common pattern with libraries written in C/C++: common, shared header files along with a static or dynamic lib to build against.