You mean, using cmake to generate c::b project and then build and run ?
On Windows as there are no security access to folder, you have no problem.
On Unix-like (Ubuntu and OS X for example) you have some access right security. The thing is, to be able to run pong example, you have to install SFML. That's this step which fails.
The easy-fast solution is to use Makefile and use «sudo make install» followed by «cd /usr/local/share/SFML/example/pong/ && ./pong».