I have seen the Zone notes on the older catalogs. Like others have said, I guess Sears divided the country in zones. Price might be a reason as others have said. I also thought it might be for different area needs. You might not market a snow plow to the Florida market, or farming equipment to New York City.
I have what I call a 1932 power tools catalog, that I bought from ebay. Great Art Deco cover, is the reason I bought it. Seller was from the State of Washington. Inside the catalog was a letter from Sears in Seattle. The letter mentions the 1832 - 1932 Bradley Centennial - which is why I call the catalog a 1932 since I need to call it something.
The letter references Chicago, Philadelphia, Minneapolis, Kansas City, Atlanta, Memphis, Los Angeles, Dallas, Seattle, and Boston.