My understanding is that recursive make is considered an antipattern (and I'm not aware of any other way to embed makefiles in other makefiles). Cmake's add_subdirectory is first class support for nesting other projects,and the FindX.cmake pattern means you can consume prebuilt libraries inside cmake, which I don't think make supports?
You are technically right about make on windows, but in practice makefiles on windows tend to be written for GCC/clang, and require manual translation to work with MSVC. There's also no IDE support for visual studio, which cmake gives you out of the box;