Problem: cmake build succeeds even if libzmq not found

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

CMakeLists.txt

@@ -10,11 +10,16 @@ find_package(ZeroMQ QUIET)
 
 # libzmq autotools install: fallback to pkg-config
 if(NOT ZeroMQ_FOUND)
-    # try again with pkg-config (normal install of zeromq)
+    message(STATUS "CMake libzmq package not found, trying again with pkg-config (normal install of zeromq)")
     list (APPEND CMAKE_MODULE_PATH ${CMAKE_CURRENT_LIST_DIR}/libzmq-pkg-config)
     find_package(ZeroMQ REQUIRED)
 endif()
 
+# TODO "REQUIRED" above should already cause a fatal failure if not found, but this doesn't seem to work
+if(NOT ZeroMQ_FOUND)
+    message(FATAL_ERROR "ZeroMQ was not found, neither as a CMake package nor via pkg-config")
+endif()
+
 if (ZeroMQ_FOUND AND (NOT TARGET libzmq OR NOT TARGET libzmq-static))
   message(FATAL_ERROR "ZeroMQ version not supported!")
 endif()