When one wants to find SFML to build it with g++, it is necessary to specify the SFML components in the right order. That is, libraries depending on others precede them.
I suggest to change the example given in FindSFML.cmake:
find_package(SFML COMPONENTS system window graphics)
and to write
find_package(SFML COMPONENTS graphics window system)
instead. You should also emphasize the issue with g++.
See also
this thread.