If ZMQ is enabled, check whether it's installed before running ZMQ tests.
If it isn't, disable ZMQ and print a warning.
Also add dependency info to test docs, so users know ZMQ is required
before running tests, and so they know how to install it.
When following the build instructions before this change then trying
to run the RPC tests, a unix user would get an error when python
tried to import zmq.
There may be other dependencies that should be added to the docs,
particularly ones for non-unix systems. This is the only unlisted
dependency I encountered using linux.