Build zlib from submodule to make cross-compilation easier

The switch to elfutils (#5926, PR #6534) added a requirement to link drsyms with zlib.
That makes it painful to test cross-compilation:
```
CMake Error at ext/drsyms/CMakeLists.txt:247 (message):
zlib not found but required to build drsyms_static on Linux
```
Our GA workflows jump through hoops to get zlib and other libs; for local dev use though it would be nice to not have to do any of that, some of which is really not easy if not on an Ubuntu machine where the exact commands in our .yml files can work.

We have a submodule third_party/zlib and presumably could build our own zlib. If we make it PIC and static and redirect malloc it would also help avoid private library needs: xref #5437 and #7312.