It is hit and miss for me. I've gotten gas in NJ where there is always an attendant and sometimes they will ask me for my zip.

Other times in NY or PA, where there isn't an attendant, the machine almost never asks for my zip (although recently in Manhattan it asked). At the end of the day, I think it depends on the merchant and what level of protection they want.

Surely this isn't done to displease Canadians or other non-US residents.