Yeah, this would be a great feature.
And when doing this it would be optimal if the appt or task could remember the mail. So that i can open the appt or task and within the attachement, there could be the (linked) mail.
And as far as i understand zimbras datastructure, it should be possible that the original mail could be moved (to another folder) while not loosing the link in the appt or task.
PS: Just voted for
Bug 19081 - right click option to email for 'add appt' or 'add task'