Reduce automake recursion; simplify pgm dependency

[pmienk]

Reduce automake recursion to docs. Remove --with-pgm specifying foreign/openpgm dependency, replace --with-pgm behavior with what was previously --with-system-pgm.

[hintjens]

Note that I just forked off a 4.1 stabilization branch at https://github.com/zeromq/zeromq4-1

If you'd like me to backport this change to 4.1, please:

1. Make an issue
2. Either backport the patch yourself to zeromq4-1 or tell me which commits to take

Thanks!
-Pieter