When installing Zabbix agent from packages, its configuration file will has the following line (for some reason configuration file in SVN doesn't have such line):
As far as I know this is done to allow installing custom .conf files with UserParameter's into /etc/zabbix/zabbix_agent.d/ without the need to modify configuration file provided with the package.
However, this is not the only potential use of separate .conf files, e.g. when loadable module is installed, it could provide a small module-specific .conf file with a single LoadModule configuration parameter, so the user does not have to edit configuration manually in order to start using module. At the moment this is only possible with agent modules.
Please add Include=... line to server's and proxy's configuration files.