Specifically, they appear to be doing AES-CBC with HMAC-SHA256. There's nothing obviously wrong with it (randomized IVs from os.urandom, both authentication and encryption and with distinct keys...) but I would hope the standard for cryptography is higher than "nothing obviously wrong with it". Specifically, I would hope that the standard for cryptography is somewhere along the lines of using a peer-reviewed cryptosystem that has stood the test of time such as TLS, OpenPGP or even NaCl (given the name, particularly the latter would be pretty good). I'm not saying TLS doesn't have flaws; I'm saying appropriately configured TLS is better than rolling your own crypto.
I'm not entirely sure why they did that, but my best guess is that ZeroMQ pretty much doesn't support TLS.