Somehow I missed when submitting https://reviews.llvm.org/D85210 to review even though it was present in original patch for MSYS2 package.
Without this change CMake tries to install libomp.a (which doesn't exist for shared build) instead of libomp.dll.a.
Should not affect MSVC at all: https://gitlab.kitware.com/cmake/cmake/-/blob/5e212cafba0f2266510841eea3f5c7b79fde9449/Modules/Platform/Windows.cmake#L16 but makes big difference