Prevent incorrect cmake usage

It's a reoccurring issue that users try to build individual components
by pointing cmake at a specific subdirectory, e.g. 'cmake vncviewer'.
CMake, unfortunately, has insufficient protection against this so we'll
need to add a manual check.

This commit only adds it to the most likely places for misuse so we
don't have to pollute every CMakeLists.txt.

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