If you define the Include directive in zabbix_agentd.conf, something like this:

Include /etc/zabbix/agent-conf.d

and put three or four files in it, some serious problems occur. First of all, depending on the number of times the function parse_cfg_file in "src/libs/zbxconf/cfg.c" is called, not all the config files will be parsed. The thing that stops further parsing of files is:

#define ZBX_MAX_INCLUDE_LEVEL 10

The problem is more precisely described on the Zabbix forums:
http://www.zabbix.com/forum/showthread.php?p=42381

I've succeded to load maximum of 4 files, and that's it. If you want more files in directory included in Include directive, you just have to patche the file and rise the ZBX_MAX_INCLUDE_LEVEL. I mark this bug as critical, because this is a major issue for anyone using a Include directive and RPM/DEB/PKG packages that add their own conf files. Please resolve this as quick as possible.