Indeed, the fact that you had to manually set the dependencies clearly shows that it wasn't supported.
To give some insight, the SFML config file is generated automatically according to targets to be exported. For desktop platforms the call to sfml_find_package(OpenGL ...) in src/SFML/Window/CMakeLists.txt creates this OpenGL target and flags it to be exported. But in iOS case sfml_find_package(OpenGL ...) is not called. Thus no OpenGL target gets exported. Thus you get an CMake error telling that the OpenGL target doesn't exist. There are probably quite a few changes to bring to current CMake code because there is no need to search for any OpenGL package on iOS, as usually you directly link using "-framework OpenGLES".
Those changes will probably arrive soon as they are also needed to get all GUI examples running on iOS.