PVM doesn't do it automatically, but the procedure can often be automated easily - if your directories are cross-mounted and you use aimk (§4.1.1).
A script such as the following builds a program for each of several machines in parallel, tagging the make output with the host name:
foreach m (ig thud cranberry garlic) rsh $m "cd $cwd ; make" < /dev/null \ |& sed -e "s/^/${m}: /" & end