This was reported to Homebrew in https://github.com/Homebrew/homebrew-core/issues/13925.
The shared library extension ".so" is hard coded in the file lang/cpp/src/GpgmeppConfig.cmake.in.in but on macOS the shared library extension is ".dylib"
As a workaround, I'm doing this in the Homebrew formula:
inreplace "lang/cpp/src/GpgmeppConfig.cmake.in.in", "libgpgme.so;", "libgpgme.dylib;"
It would be great if this could be fixed upstream, though. Thanks!