For the completeness, here's the error if I try to use system-zlib-1.2.5:

cd /sw/build.build/miktex-tools-2.9.6050-1/miktex-2.9-2016-09-10/finkbuild/Programs/DviWare/dvipdfm-x && /sw/var/lib/fink/path-prefix-clang/cc  -DHAVE_CONFIG_H -DHAVE_FT2BUILD_H=1 -DHAVE_LIBFONTCONFIG=1 -DHAVE_LIBFREETYPE=1 -DHAVE_LIBPNG=1 -DHAVE_LIBZ=1 -DHAVE_ZLIB=1 -DHAVE_ZLIB_COMPRESS2=1 -DHAVE_ZLIB_H=1 -DMIKTEX -DMIKTEX_APP_SHARED -DMIKTEX_CORE_SHARED -DMIKTEX_KPSEMU_SHARED -DMIKTEX_MD5_SHARED -DMIKTEX_MPM_SHARED -DMIKTEX_TRACE_SHARED -DMIKTEX_UNIX -DMIKTEX_UTIL_SHARED -DXETEX -I/sw/build.build/miktex-tools-2.9.6050-1/miktex-2.9-2016-09-10/Programs/DviWare/dvipdfm-x/source -I/sw/build.build/miktex-tools-2.9.6050-1/miktex-2.9-2016-09-10/Programs/DviWare/dvipdfm-x -I/sw/build.build/miktex-tools-2.9.6050-1/miktex-2.9-2016-09-10/finkbuild/Programs/DviWare/dvipdfm-x -I/sw/build.build/miktex-tools-2.9.6050-1/miktex-2.9-2016-09-10/Libraries/MiKTeX/UI/include -I/sw/build.build/miktex-tools-2.9.6050-1/miktex-2.9-2016-09-10/include -I/sw/build.build/miktex-tools-2.9.6050-1/miktex-2.9-2016-09-10/finkbuild/include -I/sw/build.build/miktex-tools-2.9.6050-1/miktex-2.9-2016-09-10/Libraries/MiKTeX/App/include -I/sw/build.build/miktex-tools-2.9.6050-1/miktex-2.9-2016-09-10/finkbuild/Libraries/MiKTeX/Core/include -I/sw/build.build/miktex-tools-2.9.6050-1/miktex-2.9-2016-09-10/Libraries/MiKTeX/Core/include -I/sw/build.build/miktex-tools-2.9.6050-1/miktex-2.9-2016-09-10/finkbuild/Libraries/3rd/md5/include -I/sw/build.build/miktex-tools-2.9.6050-1/miktex-2.9-2016-09-10/Libraries/MiKTeX/Trace/include -I/sw/build.build/miktex-tools-2.9.6050-1/miktex-2.9-2016-09-10/Libraries/MiKTeX/Util/include -I/sw/build.build/miktex-tools-2.9.6050-1/miktex-2.9-2016-09-10/finkbuild/Libraries/MiKTeX/PackageManager/include -I/sw/build.build/miktex-tools-2.9.6050-1/miktex-2.9-2016-09-10/Libraries/MiKTeX/PackageManager/include -isystem /sw/include -isystem /sw/include/freetype2 -I/sw/build.build/miktex-tools-2.9.6050-1/miktex-2.9-2016-09-10/finkbuild/Libraries/MiKTeX/KPathSeaEmulation/include -I/sw/build.build/miktex-tools-2.9.6050-1/miktex-2.9-2016-09-10/Libraries/MiKTeX/KPathSeaEmulation/include  -O3 -DNDEBUG -isysroot /Applications/Xcode.app/Contents/Developer/Platforms/MacOSX.platform/Developer/SDKs/MacOSX10.11.sdk -mmacosx-version-min=10.11   -std=gnu99 -o CMakeFiles/miktex-xdvipdfmx.dir/source/pdfobj.c.o   -c /sw/build.build/miktex-tools-2.9.6050-1/miktex-2.9-2016-09-10/Programs/DviWare/dvipdfm-x/source/pdfobj.c
/sw/build.build/miktex-tools-2.9.6050-1/miktex-2.9-2016-09-10/Programs/DviWare/dvipdfm-x/source/pdfobj.c:2183:17: error: use of undeclared identifier 'z_const'; did you
      mean 'const'?
  z.next_in  = (z_const Bytef *) data; z.avail_in  = len;
                ^~~~~~~
                const
/sw/build.build/miktex-tools-2.9.6050-1/miktex-2.9-2016-09-10/Programs/DviWare/dvipdfm-x/source/pdfobj.c:2183:17: error: expected expression
/sw/build.build/miktex-tools-2.9.6050-1/miktex-2.9-2016-09-10/Programs/DviWare/dvipdfm-x/source/pdfobj.c:2456:17: error: use of undeclared identifier 'z_const'; did you
      mean 'const'?
  z.next_in  = (z_const Bytef *) data; z.avail_in  = len;
                ^~~~~~~
                const
/sw/build.build/miktex-tools-2.9.6050-1/miktex-2.9-2016-09-10/Programs/DviWare/dvipdfm-x/source/pdfobj.c:2456:17: error: expected expression
4 errors generated.