Unfortunately, this is a limitation of ARCHICAD. This is how the program currently evaluates if a Door in in a Zone or not. I do not have a workaround I can offer, besides that you should probably model the multi-story Zone by creating Zones for each story separately, and giving them the same Zone ID and Name.
You can make a wish for this feature, we can vote on it and if it gets enough support, we can submit it to GRAPHISOFT for consideration.
If you do make a wish, please post its link in this thread.
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Loving Archicad since 1995