This PR gets rid of the all patches for ZeroMQ: - the Mingw-w64 5.0 (Ubuntu 18.04 bionic) is used to build the Windows binaries - it is safe to use pthread_setname_np since #17538 when the minimal glibc version is set to 2.17; see: #11986 (comment)
Note: Debian Buster has MinGw 6.0 and we enforce glibc >= 2.19.
Backport of core PR18405.