zlib support was hard-wired to off for (non-cygwin) windows targets.
This disables some features, such as reading debug info from compressed
dwarf sections.
This has been this way since zlib support was added in 2013 (r180083),
but there is no obvious reason for that. Zlib is perfectly capable of
being compiled for windows (it even has a cmake file that works out of
the box).
This enables one to turn on zlib support on windows, if one has zlib
avaliable.