If you dynamically load a DLL you must make sure that it has no unresolved symbols.
As Martin York pointed out, that's the way it works in Linux. When linking against a library, you have to link to all dependencies, too. That's different in Windows, DLLs take care of their dependencies themselves.
When dynamically loading a library that has another library as a dependency, you need to load that library first with the RTLD_GLOBAL flag. This is pretty awkard, imho, since you may not be able to know which dependencies another shared objects requires, or the dependencies can change with a newer version that's otherwise binary compatible. From what I know (and from reading the g++ and ld manpages), it is not possible to create a behaviour similar to Windows' DLLs.
Here's a little testcase.
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