Solution: install it if available. Download it from its repo as part
of the OBS source run.
Debian and Ubuntu always ship zmq.hpp in libzmq-dev, so do the same.
In the RPM world it is in its own separate package, so don't do the
same for RPM.
Solution: import and adapt Debian's packaging code from
https://packages.debian.org/source/unstable/zeromq3
As noted in packaging/debian/copyright, these files are licensed
under the LGPL2+ and the copyright belongs to the authors listed in
the same file.