I don't see anything wrong with those files, it says that it has freetype at T:/libraries/C++/SFML-2.5.1/extlibs/libs-msvc-universal/x86/freetype.lib
Did you download the SFML version from github?
You are setting TGUI_SHARED_LIBS to FALSE, right?
Could you send the CMakeCache.txt file from your TGUI build?
Could you send your entire SFML folder?
I'm not sure when I'll find enough time to look into this in detail, but if you send me those files then I'll try to find some explanation when I find the time.
By placing the old code back in TGUI's cmake you are changing the CMAKE_INCLUDE_PATH and CMAKE_LIBRARY_PATH variables and the issue is only solved as a side-effect of this (those lines existed in the cmake script for building the gui builder and tests, not for finding sfml). So although it works, it isn't really the solution (it only works by accident that way).