Odd logic for treatment of blockMesh zones to sets
In the blockMesh application (around line 360 or so), the cell zones are written as sets (for ease of processing). Immediately after this, a mesh.removeFiles() is invoked prior to writing the mesh. Since the polyMesh::removeFiles also removes the sets sub-directory, it doesn't look like the sets will survive very long.
Tagged in @Mattijs since he might have an idea.