Solution: set SOVERSION in CMakeLists to match the SONAME generated
by libtool so that there is no mismatch between the output of the
*NIX build systems.

Before:
$ ls -l
total 2696
lrwxrwxrwx 1 luca luca      15 Dec  1 22:36 libzmq.so -> libzmq.so.4.2.0
lrwxrwxrwx 1 luca luca      15 Dec  1 22:36 libzmq.so.4.2.0 -> libzmq.so.4.2.1
-rwxr-xr-x 1 luca luca  906168 Dec  1 22:36 libzmq.so.4.2.1
$ readelf -d libzmq.so.4.2.1 | grep SONAME
 0x000000000000000e (SONAME)    Library soname: [libzmq.so.4.2.0]

After:
$ ls -l
total 2700
lrwxrwxrwx 1 luca luca      15 Dec  1 22:31 libzmq.so -> libzmq.so.5.1.0
-rwxr-xr-x 1 luca luca  906168 Dec  1 22:31 libzmq.so.4.2.1
lrwxrwxrwx 1 luca luca      15 Dec  1 22:31 libzmq.so.5.1.0 -> libzmq.so.4.2.1
$ readelf -d libzmq.so.4.2.1 | grep SONAME
 0x000000000000000e (SONAME)    Library soname: [libzmq.so.5.1.0]