cmake: propagate debug mode to third party components

The patch propagates debug mode to building of third party components:
c-ares, libcurl, libeio, nghttp2, zstd. Other components enables debug
mode automatically once it is enabled in Tarantool build.

Curl has two similar options that enables debug mode, however they are
different: `ENABLE_CURLDEBUG` enable memory debugging and `ENABLE_DEBUG`
restricts code which is only compiled for debug enabled builds [1].

1. https://everything.curl.dev/internals/memory-debugging

NO_CHANGELOG=build
NO_DOC=build
NO_TEST=build

(cherry picked from commit 3dbf19b6)