I tried it recently, didn't work with cmake OOB the way old msys did for me.
There's you out of the box. You might have tried pacman -S cmake which will have gotten you the msys/cmake package which is used for building the packages in the msys repo (i.e. those linked to msys-2.0.dll). Having to add the mingw-w64-.. prefix is kind of strange, but you get used to it.
I'll try your suggestion and report back.
The difference will the down to path translation. We don't stick to the old MSYS rules precisely as that code was re-written for MSYS2. MSYS2_ARG_CONV_EXCL can be used to prevent specific translations from happening too.
A bug report would be appreciated anyway.
https://github.com/alexpux/mingw-packages
BTW thing that I was able to compile with old MSYS + cmake from cmake.org, but can't with MSYS2 and mingw-w64-i686-cmake is https://github.com/Absolight/pkcs11-proxy
Generally get used using, asking for and contributing to MSYS2 packages if you can. That way everyone benefits. It's not the norm on Windows, but it very much should be.