Nerd -- thanks so much for taking on these modifications. I think you will be very pleased with the outcome! Since the time I worked on my amps here, I have had significant trouble keeping them out of the rotation!
Regarding the zeners, one thing I am is very conservative when specifying such devices. It is so typical to see discolored, chard, and burnt circuit boards under where such devices reside -- a manner of operation I simply cannot accept.
Regarding the way I mounted them, it was simply the easiest way to safely and quickly mount them, as there are zero concern for the effects of any heat dissipation they create.
Finally, as you correctly mentioned, they are only conducting any significant current during the start up period, before the amplifier tubes have warmed up. But even then, I must emphasize that the zeners are so over specified, that you can leave the amplifier running indefinitely with all the amplifier tubes removed (just the rectifier tube installed), and the zeners will only become warm at best to the touch -- and I do mean truly only warm by human touch standards. They do not ever run hot at all under any condition of operation. Under normal conditions when all the tubes are installed, the heat they generate during the warm up period is so brief that you really cannot feel the effects of that heat temp wise on their bodies. When the amplifier is operating, the zeners generate virtually zero heat themselves.
The reason they run so cool -- even under worst case conditions -- is because they are 5W devices, with many lower voltage units connected in series to make up the total zener voltage. They really are a complete answer to the original cap eating over-voltage problem of the W-5's original design.
Dave