In the meantime, I have been experimenting quite a while and trying to understand the CMake configuration files. The old revision (before the change) didn't work at all, so I've taken a look at Macros.cmake and adapted it. I inserted the quotation marks (escaped \") by changing the line 41 from
set(LIBRARIES "${LIBRARIES} ${lib}")
to
set(LIBRARIES "${LIBRARIES} \"${lib}\"")
Linker entries in VS 2010 are now surrounded by "", thus paths containing spaces are recognized correctly. On the other hand, " seems to be wrong, at least for Visual Studio 2010. I don't know about older versions.
After several other issues (VS must run with admin rights for INSTALL, I didn't think of SFML_STATIC, I had to do all steps again and again for the smallest change as CMake would have upset otherwise...), I finally managed to compile SFML and code that uses it.
However, the INSTALL project doesn't generate sfml-main(-d).lib, is that intended?