Problem: cmake build succeeds even if libzmq not found

[sigiesec]

Solution: raise a FATAL_ERROR if not found, and improve diagnostic output

Catches the error reported in #241 already during cmake run

[coveralls]

Pull Request Test Coverage Report for Build 112

• 0 of 0 changed or added relevant lines in 0 files are covered.
• No unchanged relevant lines lost coverage.
• Overall coverage remained the same at 70.286%

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Totals
Change from base Build 109:	0.0%
Covered Lines:	123
Relevant Lines:	175

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💛 - Coveralls