It does look like the build process attempts to create symbolic links on Windows and later reference them. I am trying to do this in CMake-Gui.exe and then do the build in Visual Studio Community 2019. Should I be looking at trying this in something else (like cygwin or something?). May be useful in the docs to note for windows you have to install cppcheck and point`CPP_CHECKEXECUTABLE` at it and also install the WiX toolset.

...
19>------ Build started: Project: osquery_utils_macros_ns_macros.h, Configuration: Debug x64 ------
19>CUSTOMBUILD : CMake error : failed to create symbolic link 'C:/build/ns_osquery_utils_macros/osquery/utils/macros/macros.h': operation not permitted
...
375>cl : command line warning D9025: overriding '/DNDEBUG' with '/UNDEBUG'
375>thirdparty_bzip2.vcxproj -> C:\build\libs\src\bzip2\Debug\thirdparty_bzip2.lib
375>Done building project "thirdparty_bzip2.vcxproj".
376>C:\git\osquery\osquery\include\osquery/core.h(13,10): fatal error C1083: Cannot open include file: 'osquery/utils/macros/macros.h': No such file or directory
...