Update:
I manage to solve the issue, but adding more options to cmake commandline build:
cmake -DCMAKE_BUILD_TYPE=Release -DCMAKE_INSTALL_PREFIX=${prefix_here} -DBUILD_SHARED_LIBS=TRUE -DCSFML_LINK_SFML_STATICALLY=FALSE -DCSFML_BUILD_DOC=FALSE -DCMAKE_MODULE_PATH="${prefix_here}/cmake/Modules" ..
Seems that the key element was
-DBUILD_SHARED_LIBS=TRUE or
-DCSFML_LINK_SFML_STATICALLY=FALSE, for some reasons FindSFML was looking for static libs of sfml when I built them as dynamic libs. Hope it helps to anyone with the same problems