I think you miss zlib1.dll (and maybe other required DLLs) in the $PATH or in the game “root” folder. You can find it in tools/build-tool/data/external_libraries/ and select the corresponding 32 or 64 bit libraries directory (corresponding to whether you use 32 or 64 bit Lazarus+FPC). It doesn’t have any relation to WinRAR or any other standalone archiver.
See Documentation | Castle Game Engine for more details.