CMake: Restore order-dependent header checks

Revert commit 1269df2e

 (Cmake: Don't check for all headers each
time, 2014-08-15) and add a comment explaining the purpose of the
original code.

The check_include_file_concat macro is intended to be called multiple
times on a sequence of possibly dependent headers.  Later headers
may depend on earlier headers to provide declarations.  They cannot
be safely included independently on some platforms.

For example, many POSIX APIs document including sys/types.h before some
other headers.  Also on some OS X versions sys/socket.h must be included
before net/if.h or the check for the latter will fail.

Signed-off-by: Brad King <brad.king@kitware.com>