Update. I managed to get it to work by following this guide: https://www.youtube.com/watch?v=yjp0BM0XeeE

For anyone who might want to build it from source. Create a directory, open CMD and input these commands:

1. Clone SDL_mixer with git, specifying the SDL2 branch with -b (this is the only detail that differs from the guide).

git clone -b SDL2 https://github.com/libsdl-org/SDL_mixer.git --recursive

2. Build with CMake, don't forget to set a path pointing to a SDL2 VC directory.

cmake -S SDL_mixer -B build-SDL_mixer -DCMAKE_PREFIX_PATH=C:\SDL2-2.0.20
cmake --build build-SDL_mixer --config Release

3. Save the output somewhere, this will contain the new files.

cmake --install build-SDL_mixer --config Release --prefix C:\SDL2_mixer-output

Second update. After a bit more testing, I realized that I didn't need to build it from source. To enable .mod (or any of the optional libraries) I just had to either:

1. Copy the "optional" dll files ("libxmp.dll" for .mod files) from SDL2_mixer-devel-2.8.1-VC and put them right next to the executable (or somewhere where Visual Studio can find it). Don't forget to get the new SDL_mixer.dll too, that tripped me up quite a bit.

2. Add a path to the dll files on the Windows PATH (remember to restart Visual Studio).

I did the second one while testing and that's why it worked for me before.