The setsockopt call isn't failing.
Try this code:
int rc = zmq_setsockopt (publisher, ZMQ_HWM, &hwm, sizeof (hwm));
err = zmq_errno();
printf("rc=%d errno%d\n", rc, err);
Some of the simpler Guide examples don't check the return code. It's
something I'll fix for the next release.
-Pieter