FindZLIB will import targets ZLIB::ZLIB. (https://github.com/Kitware/CMake/blob/master/Modules/FindZLIB.cmake)

However if zlib is built, it exports a ZLIBConfig that can import ZLIB::zlib (the case makes them different).

FindXXX is called "module mode", and XXXConfig is called "config mode". Module mode takes precedence over config mode, so while ZLIB appears to be exporting ZLIB::zlib, it won't be imported with find_package (unless the user specifies "CONFIG" to find package). However, this is problematic as most third party libraries assume it's on the system and will not do that, thus if you build it yourself you have to hand edit everything else that's building to link to the correct one.

I'd say this is a problem with cmake taking ownership. I've commented here, and if you're reading this, hop over and add your support.
https://gitlab.kitware.com/cmake/cmake/issues/16805

In the meantime maybe we should keep consistent with the interface cmake is providing?