that's right the Zones don't have any impact on application rules at creation time, but they may have some on the auto-decide response after a rule has already been created. This must be tested to be confirmed and I haven't yet. Zones mainly set global policies regarding the system network behavior at LAN level, restricting more or less incoming connections.
edit: on a side note, as mentioned in another thread that I started a few days ago, network zones have no impact whatsoever on homegroup connections in Win7, unless IPV6 is deactivated.