I repeated the procedure to install PyMC5 with conda-forge and had the same errors. However, I found this very old thread about a similar problem with Theano. With this in mind, I installed PyMC with conda-forge in the base environment. In this case, it complained about g++ (which I then installed with build-essentials) and then inform these errors:
configparser.NoSectionError: No section: 'blas'
KeyError: 'blas__ldflags'
But surprisingly, inside the virtual environment now I have no further warnings. In any case, the sample is still slow so I will try the marginalized version