Thank you! That worked! Leaving my notes below for posterity:
The reason why I've missed recursive call was because I added the library to my project using git submodules via:
``` git submodule add https://gitlab.vci.rwth-aachen.de:9000/OpenMesh/OpenMesh.git ```
After that I should have called the following git command
``` git submodule update --init --recursive ```
which brings the `cmake-library` dependency that has the missing CMake functions! Then I was able to prepare the build setup via
``` cmake .. -DBUILD_APPS=OFF ````
Then OpenMesh can be compiled via
``` cmake --build . ```
for a debug build, which generates `OpenMeshCored.lib` and `OpenMeshToolsd.lib`
or via
``` cmake --build . --config Release ```
for a release build, which generates `OpenMeshCore.lib` and `OpenMeshTools.lib`. (These are significantly smaller).