Migrate to jzmq

[HeinrichHartmann]

The jeromq library is not developed as actively as the zmq core.
jeromq is roughly equivalent to libzmq 3.2.2, and has some rough
edges, in particular when it comes to service shutdown.

I assume that jzmq is using more recent libzmq version, and hope
that more features are available.

As we should not be limited by the lack of JNI on the platform (Android), a move to jzmq seams reasonable.