Comment out the -DUSE_CURL flag from CFLAGS in Makefile and recompile.
Disabling libcurl does not have adverse security implications: you only loose some functionality and depending on your situation you may well be able to live without it.
Without libcurl, zxid can not act as a SOAP client. This has a few consequences
Artifact profile for SSO is not supported because it needs SOAP to resolve the artifact. In most cases a perfectly viable alternative is to use POST profile for SSO.
SOAP profiles for Single Logout and NameID management (aka defederation) are not supported. You can use the redirect profiles and get mostly the same functionality.
Automatic CoT metadata fetching using well known location method is not supported without libcurl. You can fetch the metadata manually, e.g. using web browser, and place it in /var/zxid/cot directory.
If you want to manually control your Circle of Trust
relationships, you probably want to do this anyway so
loss of automatic functionality may be a non-issue.
Web Services Client (WSC) functionality is not supported without libcurl. Effectively this is just another case of "SOAP needed". If you have your own SOAP implementation, you may, at lesser automation, achieve much of the same functionality by calling the encoder and decoder functions manually.