We've looked at it and ZeroMQ is indeed a very interesting project.
Simple, powerful API and they seem very focused on performance.
For us, Colony is about zero setup. It has to be get, develop, deploy.
A lot of technologies such as ZeroMQ aren't really focused on that. Some don't even have binaries for your target platform...
We work hard to keep our external dependencies low, very low. This way you can count on a platform rather than a series of patches.
But keep in mind that Colony does try to:
1. Gather inspiration from best practices from other projects (we may not bring the technology inside, but we learn from it)
2. Integrate well with environments that use external technologies (we may not bring the technology inside, but we can build plugins to interact with it)