FindSFML.cmake is no longer supported, instead you get to use SFMLConfig.cmake which is even simpler to use. If SFML isn't in the standard library path, you can simply set
SFML_DIR to the directory where the SFMLConfig.cmake is located and then you do find_package and target_link_libraries. You'll find a minimal example below.
libjpeg is no longer a dependency of SFML, but since you use the old FindSFML.cmake it still thinks it is.
cmake_minimum_required(VERSION 3.1)
project(SFMLTest)
set(SFML_DIR "<sfml root prefix>/lib/cmake/SFML")
find_package(SFML 2.5 COMPONENTS graphics)
add_executable(SFMLTest main.cpp)
target_link_libraries(SFMLTest sfml-graphics)