Seems a bug of cmake. Finding `Development` before other components fixes this.

--- a/cmake/Dependencies.cmake
+++ b/cmake/Dependencies.cmake
@@ -854,6 +854,7 @@
   if(USE_NUMPY)
     list(APPEND PYTHON_COMPONENTS NumPy)
   endif()
+  find_package(Python COMPONENTS Development)
   find_package(Python COMPONENTS Interpreter OPTIONAL_COMPONENTS ${PYTHON_COMPONENTS})
 else()
   find_package(Python COMPONENTS Interpreter)