Right now this looks like a distro specific problem, but we'll have to see.
Over on Gentoo: with lz4 1.9.3 there is a lz4::lz4 library target, with 1.9.4 it's no longer
mentioned in the cmake files provided by the package. (/usr/lib64/cmake/lz4)
arch and openSUSE have lz4 1.9.4 available so I checked there,
they only have .pc files for pkg-config, so asking for "lz4::lz4" works as usual
MSVC does require "lz4::lz4" to be asked for