I'm not sure that this is correct. There are plenty of people (myself included) who've done itineraries like LHR-SYD//HKG-LHR.

The same zone is particularly relevant, though, if you want to change an award booking that's already been made. Although award bookings can be re-routed, the new route must be one in the same zone as the original. So, for example, I think that example booking could be changed to LHR-SYD//PVG-LHR, but it could not be changed to LHR-SYD//SIN-LHR.