I'm similarly examining the win32 cmake build in anticipation.
Thus far, the only issue is the mis-inclusion of applink.c; this is broken
with openssl 1.1.1. Looking now for a resolution.
There is an issue, but it seems squarely with openssl 1.1.1. Copying
applink.c from the source tree ms/ path to the target path openssl/include/
did resolve the issue. With the backport Jim committed to fix proxy lbmethod
logic, everything seems fine on Win32 CMake builds.
Interestingly, this is from a unix line-ending checkout of sources, using
cmake, on a case-sensitive ntfs tree. After a couple fixes to openssl 1.1.1
branch, it is all working.