First of all check that you have at least one exported symbol in your shared library. Visual Studio does not generate the .lib file if dll does not exports symbols.
Next, check your cmake files – probably you have set CMAKE_ARCHIVE_OUTPUT_DIRECTORY variable or ARCHIVE_OUTPUT_DIRECTORY property of the shared library target. If these variable/property is set then Visual Studio will output .lib files into the different directory specified by that variable/property. (There also can be configuration-specific versions like ARCHIVE_OUTPUT_DIRECTORY_Release.)