The COMPONENTS part of FIND_PACKAGE only searches for compiled libraries. It is not able to check for the header-only libraries that comprise a major part of Boost. There are only a few libraries that require linking (mostly those that perform platform-specific things).
From your examples, only thread, signals (in contrast to signals2 which is header-only), system and program_options need to be build beforehand and then linked with your program. For the rest, it is sufficient to include the relevant header files .
Thus, it is sufficient to add ${Boost_INCLUDE_DIRS} to the include directories of your target.
See here for a list of libraries of these libraries Which boost libraries are header-only?