To resolve this simply delete the old directory and then run the setup again:
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$ cd /var/lib/dkms/vboxhost
$ sudo rm -rf 4.1.4
$ sudo /etc/init.d/vboxdrv setup
Always double-check your commands and execute them with caution. If you're scared that you might lose something then move the directory elsewhere instead of deleting it. But after doing this the setup should complete without any error about a missing dkms.conf file:
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* Stopping VirtualBox kernel modules [ OK ]
* Uninstalling old VirtualBox DKMS kernel modules [ OK ]
* Trying to register the VirtualBox kernel modules using DKMS [ OK ]
* Starting VirtualBox kernel modules