The Visual Studio projects it creates, at least for my projects, have a VS project per target. That's just how Visual Studio works. You do tend to end up with a lot of projects in one solution this way, which is something most people don't do when setting projects up by hand - but with CMake picking up the strain there's no reason not to. (It's also very convenient for running tests in the debugger. One target per test, select it as the startup project, and off you go.)
As for makefiles, I haven't noticed CMake's being noticeably slower than any others I've seen, though I'm sure it's possible. They are rather larger than most Makefiles. (If you're able to switch to Ninja, that comes recommended.)