As Jason has shown you an excellent review on why ( do not forget to add a +1 to his remarkable answer, ok? ), let me add my two cents on how:
Q: How?
A: Forget about PUB/SUB archetype and create a case-specific one
Yes. ZeroMQ is rather a very powerful can-do toolbox, than a box-of-candies you are forbidden to taste and choose from to assemble your next super-code.
This way your code is and remains in power of setting both controls and measures for otherwise uncontrollable SUB
-side code behaviour.
Creating one's own, composite, layered messaging solution is the very power ZeroMQ brings to your designs. There you realise you are the master of distributed system design. Besides the academic examples, no one uses the plain primitive-behaviour-archetypes, but typically composes more robust and reality-proof composite messaging patterns for the production-grade solutions.
There is no simple one-liner to make your system use-case work.
While it need not answer all your details, you may want to read remarks