Well, the problem is that "example.com:/foo/*" isn't actually a local path that can ever be globbed by zsh alone -- it's an rsync/ssh/scp-style remote path, yet zsh interprets it as such. Not sure why. I think the solution is make sure zsh ignores arguments containing colons, but I don't know what the config option is for that.

Edit: Just remembered that zsh's over-eager globbing also fails with git -- eg., "HEAD^" must be quoted.