Thank you both for the answer and sorry for late response. I successfuly 
compiled bacula with LZO support.

The conclusion is: 
To compile bacula with LZO support install LZO development libraries 
(liblzo2-dev on Ubuntu) and compile bacula as usual, which means wihout 
--with-lzo (this parameter should probably be omitted when running "./configure 
--help").

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