Magic dependencies are a not a good thing.
If a library dependency is required, it should be checked for and error out if the system has it missing.
If it is optional, a cmake option should be made to skip over it if disabled, but error out if enabled and missing.
From a package manager's point of view, creating things that are optional if it simply exists becomes an issue if that library is ever removed from the system.

Please create options for each compression type if they are able to be disabled.

Suggestion for cmake option names: WITH_INNODB_{BZIP2,LZMA,LZO,LZ4}