Update depends ZeroMQ to 4.2.2, the release notes are available here.

We can drop both patches, as they have both been merged upstream (they actually had been for some time but just hadn't yet made it into a release).

--without-documentation is deprecated and has been replaced with --without-docs.
--disable-perf disables building performance measuring tools, which are enabled by default, see the libzmq configure.ac.
Updated dependencies.md.
--disable-curve-keygen disable building the curve key generation tool. See here.