CLion internal terminal is just a gui over the OS's internal terminal. If you're on Windows it's equivalent to use cmd.exe. If you're on Linux it's like using the terminal application. From that point of view, there is not need for such functionality. However, you are ultimately the one in control of what actually happens when you hit the run button. To the left of the run button, there is a drop down menu containing configurations that you can edit. From there you can actually change which executable file is run and what arguments are passed to it. This means that you can change the executable to the terminal you desire and the arguments to the be name of your program.
There is no good GUI interface for CMake anywhere. It's a system designed to rely on configuration scripts that you write. It's expected that a programmer is comfortable expressing instructions as code hence, the lack of a GUI. What you're describing is called visual programming and it's what we use to teach children. It is hardly a tool for professionals. The answer to why it doesn't have a GUI is the same to the question of why you don't write instructions in C++ using a GUI.
As far as the segfault I don't know. Does this happen with the default Hello World project?
As far as the color codes, I also don't know. It probably has something to do with the terminal being emulated.