The answer, yes or no, depends on what you have connected on your servo rail. Did you connect a BEC on it or any other electronic components, apart from your ESCs signal+ground wires ?
That's ok as you have only one power source on the servo rail from the BEC Each Opto ESC is a sink for power. ESCs with built in BEC source multiple power, so can conflict, hence only one should have the power line connected (at most), the others should be all disconnected.
As for the requirement for the Zener, read this http://copter.ardupilot.com/wiki/common-powering-the-pixhawk/#power...
What it's saying is that if the voltage spike on the servo rail above 5.7V it will disconnect power to the pixhawk. If you have both PowerModule and BEC connected, it will have redundancy. Solution would be to have the power module connected, or another 5V BEC connected to the Power Module port. (i'm guessing you need a PM that is more than 4S capable)
Hope that helps:)