The .ZIP feature only works for browsing on the "local server". AjaXplorer can browse MANY different types of file systems, and FTP is just one system.
WebFTP software is installed on one server, and browses another, "remote" file server. The developer says it takes too long to download all of the files from the first server (where the FTP storage is), then zip them on the second server (where AjaXplorer is installed), before finally downloading them to you at your computer.
Having said that, I agree... if crappy old Net2FTP could do .ZIP files and multifile download, AjaXplorer should be able to as well.