Zones custom fields can be used to ask extra information. Their use for address and user fields is indeed limited since there are already two default fields for the country and the state. They could be used for products custom fields to display the origin of the product, or for entry custom fields, etc...
The zone restriction enables you to limit a discount to a zone. By default it uses your main tax zone as the zone of the user. Then, when the user enters/selects his address on the checkout, the user's zone becomes his state (or his country if there is no state field). The system checks the zone like this:
It first loads all the parent zones of the user's zone. So for example, if the user lives in Rhone (the default value in HikaShop), the system will load the zone europe, france and rhone. If the discount zone is not one of these zones, the discount won't be applied.