Zendesk does not allow iframing of Zendesk due to the inherent security risks involved in iframing a web application.
The security risk, UI Redressing, or, as it's more commonly known, "clickjacking", is a class of attack that uses an iframe element on a web page that is actually overlaying another website.
As in the example described in this blog post, users can be lured into thinking that they are accessing a separate website when in fact they are allowing the hacker into a website they've already logged into (their online banking account, for example).
Zendesk prevents the iframing of Zendesk by setting an HTTP header (X-Frame-options) to SAMEORIGIN for all server responses. This policy took effect on June 30th, 2013.