ZeroMQ is a big abstraction over sockets. The higher the level of abstractions, the more these things are usually necessary.

If you're using a library like that it comes with the territory, and you have to decide for yourself the cost-benefit of using non blocking sockets and async io yourself, or trust a library.

Much more fun to write these things yourself sometimes, but I find e.g. libevent a nice somewhere-in-between abstraction level I can be happy with.

Sure, but library that spawn threads are a pain. It is convenient for the library writer but it always end up being a significant inconvenience for the user.