I have applications that require zmq.hpp and it has gone missing. This leaves only the low-level C interface for my C++ applications to use, and means I have to spend a good chunk of time rewriting code to interface with blechy old C stuff, even though libzmq is written in C++.
This was removed from libzmq about a year ago by Martin S. It's now a separate project. If you want to merge zmq.cpp back into the libzmq core, feel free to do so with a patch and pull request. You can then reference this issue.