[llvm-objcopy] - Report "no zlib available" error properly when --compress-debug-sections is used.

If zlib is not available, and --compress-debug-sections is passed, 
we want to report an error. Currently, it is only reported for
--compress_debug_sections= form of the option.

Fixes the https://bugs.llvm.org/show_bug.cgi?id=40886.

I do not think there is a way to write a test for this.

Differential revision: https://reviews.llvm.org/D58909

llvm-svn: 355391