Summary:
In some CI test environment, compression libraries can't be successfully built. It still helps to build RocksDB there. Provide such an option to skip to download and build compression libraries.
Closes https://github.com/facebook/rocksdb/pull/2135

Differential Revision: D4872617

Pulled By: siying

fbshipit-source-id: bb21ac373bc62a2528cdf1ca4547e05fcae86214