OK so now I understand the confusion.
You are confusing running with building. You can’t run all CMake targets, you should be able to build all of them but then you can only run executables. That is you build a library and a target which INSTALL’s OpenCV.
Visual studio lets you run all targets as they appear as projects but all that does is execute whatever is given in
Properties->Debugging->Command, which defaults to $(TargetPath).