Also, the fact that ZMQ is message, not stream, oriented makes it non-ideal here. You get the whole response in one big chunk. Across an internal network, this may not be a huge deal, but it's not a desirable property.
It's conceivable that a variant that broke responses up into discrete messages might be better, but this would have more complication in implementation, and I wonder how much it'd have to offer over straight HTTP.
Also, I wonder if the true ideal protocol for this is SPDY without SSL. It just seems like a no-brainer.