Probably an even better solution would be for MyLib to produce the appropriate config files.
In any case: in typical scenario on windows you need *.lib for linking and *.dll for running.
In the meantime I found out that a .LIB file is generated, but not installed. I edited the question to show the install statements. So my question boils down to: How to install the .LIB file?
.lib files are installed as ARCHIVE targets, not as LIBRARY targets. So adding an ARCHIVE DESTINATION ${destination}/lib argument to your install() command should help.
You’ve already worked out the underlying issue you were facing, but in case it is of interest, you can see this and other related material covered in my CppCon 2019 talk: