[Python][Wheel] Bundle zlib again with the windows wheels

[asfimport]

The PR #4886 aimed to link zlib statically with the wheels broke the windows wheels. This issue was hidden by the AppVeyor wheel build script, but recent conda changes have reproduced the issue caused the broken windows wheels for 0.14.1 https://github.com/ursa-labs/crossbow/branches/all?query=nightly-2019-09-17-0-appveyor-wheel-win-cp37m
The root cause was, thad ZLIB was linked dynamically in the windows wheels despite zlib_SOURCE=BUNDLED.

Reporter: Krisztian Szucs / @kszucs
Assignee: Krisztian Szucs / @kszucs

Related issues:

• [Python] pyarrow wheel: DLL load failed when importing on windows (relates to)

PRs and other links:

• GitHub Pull Request #5404

_{Note: This issue was originally created as ARROW-6584. Please see the migration documentation for further details.}

[asfimport]

Wes McKinney / @wesm:
Issue resolved by pull request 5404
#5404