You could try to install libcurl in Linux machine:
sudo apt-get install libcurl-dev
sudo apt-get install zlib1g-dev
or
sudo apt-get install libcurl4-gnutls-dev
sudo apt-get install zlib1g-dev
Be aware that after installing missing packages like above, you need to reload the Linux SDK in the IDE. To be sure, you can simply delete the linux SDK from IDE, the folder, and then add it again so Delphi will reimport the most updated files.
Alternatively, if you don’t use Linux platform, you can simply uncheck it from the installer.