I managed to get SFML to work. I clearly have little knowledge about static and dynamic libraries, but omitting the "set true" for sfml static libraries was a step in the right direction. Right now, just getting started is important for me, so I will look into this subject in the future.
Next, I copied all the .dll-s from SFML-2.5.1/bin to the cmake-build-release that CMake built. This was enough for the executable to now work properly.
Thanks again for your help, eXpl0it3r, it put me on the right path.