It's probably an issue with CMake (tested 3.27.9), but check_library_exists incorrectly detects dbghelp when generating an Xcode project that cross-compiles for tvOS and passing -DBUILD_SHARED_LIBS=OFF. The internally generated TryCompile project by CMake simply makes no attempt at actually detecting library's presence.

I reported it to CMake via a private issue #25479.

The workaround is to "bypass" the check_library_exists check by passing -DHAVE_DBGHELP=0 to cmake.