Up to now, on windows we don't even bother to look if the user has a zlib
available somwhere.

In almost all larger commercial projects i've participated in, it was not
at all uncommon to have such a dependency somewhere in the source tree and
use it whereever required.
Searching for it, even if it's unlikely to be present, allows for such a
scenario (i.e. by prefilling the CMake-Cache).