Switch from using jeromq to jzmq.

I have found jeromq to be unreliable (through no fault of its own, but it is hitting a JDK bug, see https://github.com/zeromq/jeromq/issues/32).  I chose to switch to jzmq, which seems to be more reliable.  It is a simple wrapper over the native C library, as opposed to a Java port, so that introduces a native code dependency.

Entirely up to you, John, if you want to pull this.