If you didn't install DX7, yeah, you probably should. I don't think that's the problem here, though. dibgrab is a test, not part of Allegro itself. It doesn't really matter if you don't build it, but maybe it's failing because Allegro didn't compile.
It's looking for the static library, but ZC doesn't use that. Check in lib/mingw32. If the dll's there, you can probably just make install and be done with it. Otherwise, maybe do a make veryclean and start again.