The Zip drive itself has to have the 4.2 driver formatted on it (i.e. not in the System folder which does not need it to boot). Depending on what Zip INIT you are using on the SE System, or other Macs, there was a nasty habit of the ZIP INIT updating the ZIP disk without asking if the INIT was newer than that installed on the disk.
You could also have termination issues. I believe the Mac Plus does not provide termination power but the SE does.