`FindZLIB` module uses variable `ZLIB_ROOT`[1] to look for libraries. By
setting the variable, `FindZLIB` is able to search the libraries that
installed in a non-system path (/workspace/mylib for example).

And when using `z` in `LINK_LIBRARIES()` CMake tries to lookup the
library in system path by default. It doesn't work if the library isn't
installed in the path, and use ${ZLIB_LIBRARY} which set by FindZLIB
solve the issue.

All new code of the whole pull request, including one or several files
that are either new files or modified ones, are contributed under the
BSD-new license. I am contributing on behalf of my employer Amazon Web
Services.

[1]: https://cmake.org/cmake/help/latest/module/FindZLIB.html#hints