Closes issue #11550. Thanks to Ben Hayden for some inspiration on the
solution.

This allows the -j flag to regrtest to propagate warnings settings
properly.

longer fails if zlib is not installed. Instead, the zipfile.ZIP_STORED
compression is used to create the ZipFile. Patch by Natalia B. Bidart.

Thanks Matias Bordese. (a few modifications of my own)