Currently, FindCMSIS.cmake searches for it like so.
find_path(CMSIS_${FAMILY}${CORE_U}_${RTOS_COMP}_PATH
NAMES "cmsis_os${RTOS_COMP_VERSION}.h"
PATHS "${STM32_CUBE_${FAMILY}_PATH}/Middlewares/Third_Party/FreeRTOS/Source/CMSIS_${RTOS_COMP}"
NO_DEFAULT_PATH
)
This code is correct for cmsis_os.h, but not for cmsis_os2.h. That file lives under ${STM32_CUBE_${FAMILY}_PATH}/Drivers/CMSIS/RTOS2/Include. That's at least true for STM32H5; see here.