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As noted in #1759 (comment), it's reasonable to expect that distros are shipping a version of SFML new enough to have the config module in place. Therefore we can remove FindSFML.cmake. I see that you were already using the config module on Windows so this ultimately normalizes both sides there.
I also noticed that SFML 3 changed the target names and capitalization of components so it's not backwards compatible. I've added a bit to try SFML 2 and if not found try with SFML 3 names. Note that I went this direction due to #1759 indicating that SFML 3 support may need time to bake. It marginally simpler (one line, one less variable) to prefer SFML 3 if you want to go that route.