Fixing potential:
```
CMake Error at scripts/CMakeLists.txt:72 (install):
install FILES given directory "/usr/ports/ftp/curl/work/.build/scripts/" to
install.
```
Reported-by: Daniel Engberg
Fixes#16946
Follow-up to c8b0f0c9ad#16833Closes#16954
Add the last (*) missing bit for feature parity with autotools.
Also test in CI. Add a new `cmake install` step to GHA/macos.
(*) AFAIK. Let us know if there's something else missing.
Closes#16833