./configure should not create the directory hierarchy under SAGE_LOCAL.
Normally this is the task of make install; but since our make already does the equivalent of "make install" (see #21479 and #21495 for discussion), we should do this during make.
. . .
A possible implementation would be to use the currently unused automake-generated build/make/Makefile-auto to do that by calling make -f Makefile-auto install during make.
CC:  @jdemeyer
Component: build
Issue created by migration from https://trac.sagemath.org/ticket/21532