Merlinpa: that's what I thought at first.

Anyway, am using Australian states as my zones. After a bit more fiddling around I've found that the customer's state must match exactly with the code for the zone. That is, if your code for Western Australia is "WA" then the customer's state must also be "WA".

Inadvertent editing of the customer details may cause this issue.

Hope this helps someone out there. :)