[Python][Wheel] Bundle zlib again with the windows wheels

The PR https://github.com/apache/arrow/pull/4886 aimed to link zlib statically with the wheels broke the windows wheels. This issue was hidden by the AppVeyor wheel build script, but recent conda changes have reproduced the issue caused the broken windows wheels for 0.14.1 https://github.com/ursa-labs/crossbow/branches/all?query=nightly-2019-09-17-0-appveyor-wheel-win-cp37m
The root cause was, thad ZLIB was linked dynamically in the windows wheels despite `zlib_SOURCE=BUNDLED`.