To be clear, I think it's an amazing library which is unmatched in its performance, but it comes at a cost: reduced reliability.
ZeroMQ will drop messages in a number of situations. The library does not handle delivery guarantees which means that the application must do it themselves. Whether or not this works for you is an application level concern. However, having used it at two companies now: both times it ended up being thrown out for a more reliable queue (kafka).
http://zguide.zeromq.org/py:all#Missing-Message-Problem-Solv...
So maybe the reason you haven't stumbled upon it sooner is because it's overhyped? Definitely useful but with a grain of salt.