I’ve promised to make an update whenever I would find a solution to the problem I had some months ago when I tried to use the latest MKL with numpy. Well, there was a simple hack that did the trick. It is far from being perfect, but at least, the tests pass now.
So the only thing you have to do is to export the LD_PRELOAD variable:

export LD_PRELOAD=/path/to/the/MKL/lib/libmkl_core.so