Previously, the option LLVM_ENABLE_LLD was not adequatly taken into account when using LLVM_ENABLE_LTO on Windows.
The picture below shows the problem before the patch. CMAKE_LINKER says lld-link.exe, however when running configure, CMAKE_LINKER is back to link.exe (the message was printed in HandleLLVMOptions.cmake. This is probably caused by CMakeCXXCompiler.cmake which indeed overrides CMAKE_LINKER (I'm using CMake 3.12.0).
This causes LINKER_IS_LLD_LINK not being set, which in turns prevents using LTO.