This MacBundle.cmake contains CMake instruction to build MacOS GUI .app bundle. It also embeds the icon to the app bundle. It also copies metadata, and all static assets into the bundle at build time.
If you installed SFML as "Frameworks", instead of "dylibs", you will need to embed the SFML frameworks (using Xcode) into the App Bundle, if you want to share your app with others. Use CMake GUI to generate an XCode project. Open project in XCode. Click menu Editor > Add Build Phase > Add Copy Files Build Phase. Click the [+] button at top, and select all SFML frameworks from /Library/Frameworks (audio, video, system etc.). Now you can Build your project.