ZMQ_ROUTER_NOTIFY doesn't have a context and doesn't play nice with protocols. with ZMQ_DISCONNECT_MSG we can set it to a protocol message, like DISCONNECT in majordomo. Router will send it when a peer is disconnected. Another advantage of ZMQ_DISCONNECT_MSG is that it also works on inproc.

Together with ZMQ_HEARTBEAT it allows to build very reliable protocols, and much simpler as well.