where is my war-torn Rhino dude…
I’ve made one yesterday. Maybe you have to check your game files?
You craft the Rhino from inventory.
I believe you need at least the cauldron and animal pen to unlock it.
Not sure since I got all the feats and skins already 
No, a cauldron is enough. You can get a tamed (but not placed) Rhino from another player and craft this one if you’ve got the DLC.