cmake3 external project add step loop

should help you out In CMake functions calls and other constructions cannot be nested one into another. So, using foreach() command inside ExternalProject_Add_Step parameters is wrong.
But you may use foreach() for generate arguments for ExternalProject_Add_Step:

# This variable will contain list of 'COMMAND' clauses:
#    COMMAND cmake -P copy <file-src> <file-dst>
set(COMMAND_COPY_FILES)
foreach(copy_file ${ALL_FILES})
    list(APPEND COMMAND_COPY_FILES
        COMMAND ${CMAKE_COMMAND} -E copy ${SRC_DIR}/${copy_file} ${TGT_DIR}/${copy_file}
    )
endforeach(copy_file)

ExternalProject_Add_Step(${EXTERNAL_TARGET} lib_step 
     COMMAND ${CMAKE_COMMAND} -E make_directory ${TGT_DIR}
     ${COMMAND_COPY_FILES}
     COMMENT "Copying lib from ${SRC_DIR} to  ${TGT_DIR}"
     DEPENDEES install)

# This variable will contain single 'COMMAND' clause but with many files:
#    COMMAND cmake -P copy <src-files> <dest-dir>
set(COMMAND_COPY_FILES COMMAND ${CMAKE_COMMAND} -E copy)
foreach(copy_file ${ALL_FILES})
    list(APPEND COMMAND_COPY_FILES ${SRC_DIR}/${copy_file})
endforeach(copy_file)
list(APPEND COMMAND_COPY_FILES ${TGT_DIR})