Always link threads, fix linking cURL

[tomlankhorst]

Threads are currently used throughout the codebase so they need to be
required. CURL is required when using HTTP, not when using Networking.

Fixes #8810

Current situation:

• DISABLE_HTTP Disables cURL and Http.cpp.
• DISABLE_NETWORK Disabled Network.cpp and friends.

I think it's a bit vague that disabling networking does not disable HTTP.
Maybe, we could refactor it to DISABLE_MULTIPLAYER?

[Gymnasiast]

This will need to have the changelog updated as well, but looks fine otherwise.
Never mind, it's not user-facing and nothing big either.