Because each source file on its own is a work subject to copyright, with a copyright notice and particular license attached, and the license attached requires retaining the notice.
The fact that they are also included in a compilation which, as a compilation, is separately subject to copyright and has it's own copyright notice and license attached, which happens to be the same license, doesn't change that one bit.
In addition, the Zen headers say "This project may be licensed under the terms of the ConnectFree Reference Source License" and "See the LICENSE file at the root of this project for complete information". This statement is enough to imply that the project as a whole is covered by the specified LICENSE file.
Each is an individual work of authorship meeting the requirements for protection under copyright law and as such is automatically protected on creation as an individual work. Each is distributed with an individual copyright notice and individual statement of the license terms, so the recipient also has notice that the protection which is automatic under copyright law is claimed by the author, and the licensing terms applicable to the work. Redistribution without preservation of the copyright notice that appears in the work as required by the license is a clear, willful violation of the license.
They are distributing a modified copy of the software and including the original copyright and permission notice. Therefore, they are in compliance. It's as simple as that.
If they were distributing the individual files (or "substantial portions" of them) without a copy of the original copyright and permission notice, then you'd be correct. But that's not the case here.