Okay, thanks for the explanation, it's clear now. It is a not a problem, only a "problem" :p
I thought it would make more sense if linker and loader referred to the same library by default. And I'm not sure if I do something wrong, but I never mention the SFML library filenames explicitly, just always "sfml-system" etc.
At the moment, I need to ship the SFML binaries with Airport because the user is likely to have a different revision or none at all. And it would be simpler if I could just have one directory "Runtime" with 4 SFML components that can be used during build and during execution (not at least because I could just install this directory in CMake). It's no big issue, I currently have a regex workaround, but I wondered where the need for different libraries arises.