This is not a bug, it's a feature request.
I confirmed that I have all file types selected in the auto-import options.
If you have a look through that list, you will notice that .zip files are conspicuous by their absence, and this is why auto-import ignores them.
I just tested this out for you, and if you don't mind hacking the registry, you can make auto import grab zip files...
first close MC then open regedit and navigate to:
HKEY_CURRENT_USER\Software\JRiver\Media Center 12\Library Specific\{
big number unique to your library in here}\Import\Watch Folders
and identify which folders you would like zip files to be picked up from and modify the data for them by adding ,zip to the end of the filetypes string.
Now when you open MC, auto import will fire shortly afterwards and gather zip files from the specified folders.
Works for me, it should do for you too.
-marko.