regression: warning of missing headers when using boost python-py35 component

I have the following in my CMakeLists.txt:

find_package(Boost COMPONENTS python-py35 REQUIRED)

This used to work fine with cmake 3.2.2-2 from Debian. I now upgraded to cmake 3.6.1-1 and when configuring the same code I get:

 CMake Warning at /usr/share/cmake-3.6/Modules/FindBoost.cmake:1475 (message):
   No header defined for python-py35; skipping header check

The code seems to build and run fine despite the warning. I do not know what it means or if there is anything to do on my part.