Hi Bruno,
we have already a FindOpenEXR.cmake file. I would prefer to keep the necessary changes in this file and not spread it over several places as your patch (main CMakeLists.txt and FindOpenEXR.cmake).
Also when you change the paths for the include statements there are more changes necessary to adapt the CMake search path. On Windows the OPENEXR_INCLUDE_DIR includes for instance ../include/OpenEXR already, so this will probably break.
Thomas