b53671ae (Search for zlib unconditional, 2012-12-18) changed things
around to always (even on windows, that's what the subject refers to)
call FIND_PACKAGE(ZLIB).

However, it did not correctly handle the case where ZLIB_LIBRARY is
cached, either by the user setting it manually or by an earlier
search.  In that case, the IF(ZLIB_FOUND) would not trigger (that
variable is not cached) and we'd instead use the built-in version.

000e6896 (CMake: don't try to use bundled zlib when the system's path
is in the cache, 2013-05-12) tried to fix that, but it actually made
the problem worse: now with ZLIB_LIBRARY cached, _neither_ of the
blocks would execute, resulting in a linker error for me when trying
to build such a doubly-configured setup.

To fix the issue, we just trust CMake to do the right thing.  If
ZLIB_LIBRARY is set (either from user or cache) then the find_library
in FindZLIB.cmake will use that instead of searching again.  So we can
unconditionally (for real this time) call FIND_PACKAGE(ZLIB), and just
check its result.