To skip the zlib build step you can use the engine one by adding this to your .Build.cs:
AddEngineThirdPartyPrivateStaticDependencies(Target, "zlib");
and include this header in your cpp:
#include "ThirdParty/zlib/zlib-1.2.5/Inc/zlib.h"
(that was from 4.16, version numbers might have gone up since then)