It appears that mavproxy does not list out all its requirements in the actual requirements:
https://github.com/ArduPilot/MAVProxy/blob/master/setup.py#L29
The install instructions (here) give a bunch of APT packages to install. Alas, that’s not for Gentoo. Instead, install the extra requirements called out in the Darwin section of the setup.py file. (I didn’t find them on any of the emerge repos either)