OK, I read this more carefully. I think you have the right headers installed already, but your compiler is a bit outdated:
Code:
make[1]: Entering directory `/usr/src/linux-headers-4.4.0-040400rc6-generic'
Makefile:660: Cannot use CONFIG_CC_STACKPROTECTOR_STRONG: -fstack-protector-strong not supported by compiler
You probably need a newer gcc.
See similar problem for VirtualBox kernel modules - they also use DKMS.
https://forums.virtualbox.org/viewtopic.php?f=7&t=74238
Cheers,
Michal