I have uploaded a set of changes to the 'cmake' branch of GitHub which replace the original library discovery procedure with a simpler mechanism that is based entirely on CMake packages.
The build process now assumes that the BLAS/LAPACK libraries we have are available and discoverable as standard modules that can be linked in. The argument TENSOR_BLAS may currently be set to MKL or OpenBLAS to choose one of these two backents. It will then use find_package() to search for those libraries and the right build and link options.
I believe this is a slightly more future-proof way to link libraries. It may well be the case that some of those CMake files and modules get other names in different distributions, but that's something that we can incorporate, step by step, by checking different build environments.
The cmake branch now builds with Microsoft Visual Studio 2019, using the OpenBLAS and LAPACK packages from the vcpkg framework (it is assumed that vcpkg is installed elsewhere and the user supplies the location). It should also work in other environments, such as Mingw, provided the right packages are installed and have the same names and options as in vcpkg. That's something I will test next.
The same branch has code to use MKL. On Windows one has to first download and install MKL from Intel, and then install the MKL package from vcpkg. It seems to _mostly_ work, but for some reason not all libraries are yet linked in. I have to further investigate this.