gzFile is already a pointer, so code like

gzFile *handle = gzopen(...)

is wrong.

This used to pass silently because gzFile used to be defined as void*,
and you can assign a void* to a void**.  But somewhere between zlib
versions 1.2.3.4 and 1.2.6, the definition of gzFile was changed to
struct gzFile_s *, and with that new definition this usage causes
compiler warnings.

So remove all those extra pointer decorations.

There is a related issue in pg_backup_archiver.h, where

FILE       *FH;             /* General purpose file handle */

is used throughout pg_dump as sometimes a real FILE* and sometimes a
gzFile handle, which also causes warnings now.  This is not yet fixed
here, because it might need more code restructuring.