This is for other people running into this problem, which took me quite some time to resolve.
I have Zimbra running fine on Ubuntu 6.06 Server.
Then I tried to install Zimbra on Ubuntu 6.10 Server.
Installation failed with the following error in the zmsetup log:
It turns out that this is caused by the Ubuntu shell that is used by some of the Zimbra install scripts /bin/sh.
/opt/zimbra/bin/ldap: 32: source: not found
In Ubuntu 6.06, /bin/sh symlinks to /bin/bash.
In Ubuntu 6.10, /bin/sh symlinks to /bin/dash.
Changing /bin/sh to link to /bin/bash solved the problems.