QMake's CONFIG+=console in CMake

You don't do anything: for CMake, it's the default. If you want a Windows application, you'll need to add the WIN32 options to the call to add_executable:

add_executable(<name> [WIN32] [MACOSX_BUNDLE]
               [EXCLUDE_FROM_ALL]
               source1 source2 ... sourceN)

This will set the linker to look for WinMain instead of main as you'd expect for a Windows GUI app, by setting the CMake internal WIN32_EXECUTABLE.