The setup wizard performs some tests, but currently the test on the zlib extension is optional so you can proceed without it. Since eZ publish 3.8 however, zlib is required since you always need to unpack a package. Without a package, you can't finish the setup wizard.
I've posted an enhancement request for this: http://ez.no/community/bugs/installation_wizard_test_for_zlib_should_be_critical_not_optional
