Just like Yann said, you destroyed the zombie sprite before it can finish the "die" animation. So i added a Wait, there's another way is add an event where the zombies destroyed after finished "die" animation. I also disabled the Set Animation Speed and Set Animation Frame action, and add a start ignoring platform user input(this will stop the killed zombies from moving, if you don't like please remove it).
Here the fixed: http://dl.dropbox.com/u/48963688/Examples/Zombies.capx
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I'm downloading the r74 to see the fixed capx, I tried to manually do that, it worked, but when the zombie is destroyed it adds 6200 points to the Score, it was supposed to add only 100. :(
Problem solved! I added a sub-event, on the "Sprite4 Health =/< 0" that is also "Sprite4 Health =/< 0" and in there I added the score.