Assuming your title is a typo and you're not actually looking smfl but sfml-graphics-2.dll.
When you build SFML as shared library (i.e. not static), then you'll get dlls including sfml-graphics-2.dll, not sure where you're looking for it exactly.
Personally I recommend setting CMAKE_INSTALL_PREFIX to a custom location and then run the install target, which will copy all the relevant files from the build directory to the specified output directory.
The DLLs will then be in the bin/ directory.