installing *source* package 'RSQLite' ...
** package 'RSQLite' successfully unpacked and MD5 sums checked
** using staged installation
** libs
"C:/rtools40/mingw64/bin/"g++ -std=gnu++11  -I"C:/PROGRA~1/R/R-4.1.1/include" -DNDEBUG -I. -Ivendor -DRSQLITE_USE_BUNDLED_SQLITE -DSQLITE_ENABLE_RTREE -DSQLITE_ENABLE_FTS3 -DSQLITE_ENABLE_FTS3_PARENTHESIS -DSQLITE_ENABLE_FTS5 -DSQLITE_ENABLE_JSON1 -DSQLITE_ENABLE_STAT4 -DSQLITE_SOUNDEX -DRCPP_DEFAULT_INCLUDE_CALL=false -DRCPP_USING_UTF8_ERROR_STRING -DBOOST_NO_AUTO_PTR -DSQLITE_MAX_LENGTH=2147483647 -DHAVE_USLEEP=1 -I'C:/Program Files/R/R-4.1.1/library/plogr/include' -I'C:/Program Files/R/R-4.1.1/library/Rcpp/include'        -O2 -Wall  -mfpmath=sse -msse2 -mstackrealign  -c DbColumn.cpp -o DbColumn.o
In file included from vendor/boost/mpl/aux_/na_assert.hpp:23,
                 from vendor/boost/mpl/arg.hpp:25,
                 from vendor/boost/mpl/placeholders.hpp:24,
                 from vendor/boost/iterator/iterator_categories.hpp:16,
                 from vendor/boost/iterator/iterator_concepts.hpp:10,
                 from vendor/boost/range/concepts.hpp:20,
                 from vendor/boost/range/size_type.hpp:20,
                 from vendor/boost/range/size.hpp:21,
                 from vendor/boost/range/functions.hpp:20,
                 from vendor/boost/ptr_container/detail/reversible_ptr_container.hpp:30,
                 from vendor/boost/ptr_container/ptr_sequence_adapter.hpp:20,
                 from vendor/boost/ptr_container/ptr_vector.hpp:20,
                 from RSQLite.h:15,
                 from pch.h:1,
                 from DbColumn.cpp:1:
vendor/boost/mpl/assert.hpp:194:21: warning: unnecessary parentheses in declaration of 'assert_arg' [-Wparentheses]
 failed ************ (Pred::************
                     ^
vendor/boost/mpl/assert.hpp:199:21: warning: unnecessary parentheses in declaration of 'assert_not_arg' [-Wparentheses]
 failed ************ (boost::mpl::not_<Pred>::************

RSQLite is a CRAN package, so you should really be asking either on their GitHub or on R-help@r-project.org.

That said, you are just getting warnings about unnecessary parentheses in a header file. I just installed RSQLite from source on my Windows box and got that warning over and over and over again, but the package still installed. Are you sure it didn't install for you?