Reenable tests against libzmq3.2 + various cleanup.

This PR does a few thing related to the addition of `auth` stuff.
+ It disable some `auth_test` if `libsodium` is not builtin (using `zmq_has`).
+ It disable the whole zap / auth stuff if libzmq is not at least v4.
+ It fixes an unitialized use of a member variable.
+ Some re-formatting to conform a bit better to what we are used too.
+ Fix accessors by returning `const &` instead of copy. (also mark those as `const`)
+ Unrelated doxygen configuration update to properly extract documentation.

Individual commit are easier to review.