The gssapi has some helper functions gssalloc_malloc()/gssalloc_free()
which on windows doesn't call malloc()/free(). Instead these are
wrappers around HeapAlloc() and HeapFree(). To complicate matters
gssapi doesn't export these helper functions, so you're left using
the allocation method of your choice.

See Here:
https://github.com/krb5/krb5/blob/89683d1f135765e91041f3a239af865b11aaf86b/src/lib/gssapi/generic/gssapi_alloc.h

The zmq gssapi implementation is calling malloc and then calling
gss_release_buffer() to free the memory. gss_release_buffer uses
gssalloc_free() to free this buffer which on windows calls HeapFree()
instead of free(). This causes an access violation on windows.