It's not something that you are doing wrong, it's just not supporting in Zimbra 5.x
I raised a bug for this ages ago, pretty much as soon as version 2 of the software came out actually,
Bug 30146 - Cannot provision activesync 'exchange' account. the comments on there show that it's a function that Zimbra 6.x supports.
Given that we are expecting version 3 of the iphone software to be made available at the start of next week, I'm wondering if the problem has been fixed too late, I've no idea if the provisioning tool will work with iphone3 software, I guess we'll find out soon.