There's no problem with the tests per-se - the problem is that the sigc dll is not in the same directory as the test executables. The DLL is in <cmake-build-dir>/sigc++/<Debug/Release>, while the EXEs are in
<cmake-build-dir>/tests/<Debug/Release>.
So, options are:
1. Change the PATH to include the DLL directory before running the tests
2. Copy the DLL to the EXE directory as a post-build action - that can be done with CMake, something like adding this bit of CMake to the function
add_sigcpp_test:
  add_custom_command(
    TARGET ${test_name}
    POST_BUILD
    COMMAND ${CMAKE_COMMAND} -E copy
        $<TARGET_FILE:sigc-${SIGCXX_API_VERSION}>
        ${CMAKE_CURRENT_BINARY_DIR}
    VERBATIM
  )
3. Build all targets (DLL & test executables) into the same output directory with something like this bit of CMake:
if(MSVC)
set(CMAKE_RUNTIME_OUTPUT_DIRECTORYÂ ${CMAKE_BINARY_DIR}/bin)
endif()
