I've got an issue, too. When building statically with nmake/VS2010, the output filenames don't have a "-s" appended. Result is that other CMake-powered projects using FindSFML.cmake can't find the libraries when SFML_STATIC_LIBRARIES is set, becase it looks for -s except for sfml-main.lib.
I also made sure to remove all SFML_* CMake vars except the SFML_STATIC_LIBRARIES so the libs are really searched for again.
Git commit ID: e7256e3324a196bb1432786c678f195c9ffb982b
OS: Win7
CC: MSVC 2010 (nmake)