For quick and "dirty" workaround you can add MSYS2 search paths like described here.
For long-term solution... I guess makefiles in openFrameworks point to dlls since compilers prefer to choose dynamic libraries by default, and when app is executed it can't find those dlls and dependent dlls in app's folder. I think one can fix this in makefiles by pointing to static libraries directly, like "$(MSYS2_ROOT)/mingw32/lib/libboost_filesystem-mt.a"? @arturo?