The policy is not set for 10.2
If it is set, CMake would complain about bundled zlib for which the policy
is not set.

Fix:
- Set policy for 10.2 for the top level project.
For 10.3+ it was already set

- Cleanup zlib to remove unneeded stuff. It is an internal static library,
it needs none of PROJECT, library versioning, RC file on Windows.
The name of the library on Unix does not make any difference, since it is
static and compiled in.