If you’re not sure what to do with that, then you should read up on how CMake works. Also, it’s possible for you to grab all source files with a wildcard, but from what I recall, it is not recommended to use wildcards.
No, I’ve never come across that error before. Check that you are using Cocos2d-x 3.17, and that you haven’t made a typo in the CMakeLists.txt.
Read the output of CMake and see if it shows you any other errors, so it may not actually be the cocos_build_app that is the problem.
cocos_build_app exists in the cocos2d/cmake/Modules/CocosBuildHelpers.cmake file, so make sure that file exists, and open it and search for “cocos_build_app” to make sure it’s there.