Can you post the output of "diskutil list" for the disk that didn't work? Seeing you say that the one that didn't work was formatted under Panther makes me think I know what's wrong.
(In my first post about doing this with a USB stick, I mentioned I had to force Disk Utility to repartition the disk with an "Apple Partition Map" partition table. USB sticks of course by default have a DOS MBR partition table, and merely "formatting" the disk with Disk Utility kept the MBR style partition table. With the MBR table when I tried to mount the stick in Sheepshaver I got exactly what you did, that prompt about formatting it "ProDOS OK". I'm willing to bet your "bad" ZIP disk has an MBR partition table on it.
That of course would never happen on a disk formatted under OS 9 or earlier.)