The SEP drivers weren't built and weren't installed:
hekto@ubuntu:/opt/intel/vtune_amplifier_xe/sepdk/src$ sudo ./insmod-sep -q
pax driver is not loaded.
socperf2_0 driver is not loaded.
sep4_0 driver is not loaded.
vtsspp driver is not loaded.
The Perf tool also wasn't built correctly (the kernel is customized one):
hekto@ubuntu:/opt/intel/vtune_amplifier_xe/sepdk/src$ perf -v
WARNING: perf not found for kernel 3.18.41-test
But - the VTune actually works, I can see profiling results. What kind of sampling is being used in this case? I don't see anything about that in the VTune GUI.