(Hopefully I managed to not make this seem like flaming, I'm genuinely curious.)
In other words, it can be considered a premature optimization
Do you have any recommendations for decent HTTP clients?
We do, however, use ZeroMQ for other stuff. But I'll always reach for HTTP for an API, unless there's a need to do otherwise. It's super simple to get running, interface and debug with. Every backend engineer knows how to use curl.
We're still shifting services over HTTP off a mix of Apache and IIS boxes. We can do 80 million service requests a day without hitting 5% of our capacity with commodity hardware.
These service requests are extremely complicated calculation and scoring algorithms as well so not some half-arsed CRUD API either.
We just do it in C# and C++ rather than Python/Ruby etc as that's where we gain the performance advantage.