@Laurent @Hiura,
the FindSFML.cmake doesn't work very well for OS X. It basically sets
SFML_INCLUDE_DIR to /Library/Frameworks/SFML.framework
and
SFML_LIBRARIES isn't set to anything.
I have a feeling SFML_INCLUDE_DIR should be set to /Library/Frameworks/SFML.framework/Headers, and SFML_LIBRARIES definitely shouldn't be blank.