cmake .. -G"CodeBlocks - Unix Makefiles" from the allegro/build folder.
Why are you using the "Unix Makefiles" generator? If you're using MinGW, use "MinGW Makefiles", and if you're using MSYS, use "MSYS Makefiles".
Also, you're never gonna get everything right using cmake by itself. Use 'cmake-gui ..' and configure everything with the gui.
Why is 4.4.2 a requirement? I have binaries of MinGW-W64 GCC 7.1, Allegro 4.4.3, and EagleClassic available already built.
Also, if you're using MinGW-W64, it comes with DirectX, you just have to tell cmake where to find it. It's in the i686-mingw...\include folder in the mingw distribution.