cmake does not build anything. it only creates project files for the c++ compiler / ide (probably VS).ide. then you have to open the opencv.sln, and build the INSTALL project.
there is no DEBUG python lib, so it can't create a pyd in DEBUG, only in RELEASE mode.
if you're mainly interested in the python bindings, use cmake -DBUILD_SHARED_LIBS=OFF to get a self-contained pyd (no further opencv dlls nessecary)
build building the INSTALL project, to will copy the final pyd to your site-packages