I'm running into this as well; there's no option for flagging a message for zimbra accounts set up to use ActiveSync. Flags set on the server through the web client or an IMAP client don't show up on the phone. Interestingly, toggling a flag through one of those two methods *does* usually trigger a push to the phone; I see it checking with the server whenever I toggle the flag.
My Google account also set up as ActiveSync does have the flag option, but it doesn't work either. IMAP works fine.
Simon Fraser University