I have this problem too.
I assumed it was something in my system.
I am CERTAIN than linking and unlinking zones worked previously so that I could stream music to onw zone using MC, link the zones and also play in another zone and then unlkink the zones to leave music playing only in the new second zone.
Now, I can link zones and get music playing in two places but as the OP says, I can't unlink them using JRemote and can't even unlink them in MC