Avoid build require system zlib (#303)

`register_dep("Z")` correctly set the include path for zlib, but fail to set the path to libz.a. RocksDB cmake script expect libz.a be place under ${DEP_Z_ROOT}/lib, but libz-sys place it under ${DEP_Z_ROOT}/build. Fixed it.

Also added a test to make sure possible compression types are all linked.

Signed-off-by: Yi Wu <yiwu@pingcap.com>