You can quickly be editing, building and debugging your code locally on Windows, and then switching your configuration to do the same on Linux all from within Visual Studio.
Visual Studio will recognize CMake is being used, then use metadata CMake produces to configure IntelliSense and builds automatically. Just open the folder with your sources in Visual Studio (File > Open Folder).
You can use Visual Studio for your C++ cross platform development when using CMake without needing to create or generate Visual Studio projects. If you are using the same codebase for multiple targets, then CMake is the most common solution for building your software. A great strength of C++ is the ability to target multiple platforms without sacrificing performance.