libzmq: zmq_socket options ZMQ_RCVHWM, ZMQ_SNDHWM ignored

Hi! I use zeromq-4.0.5 library, from sources without any patches. My system is:

 ~ $ uname -a
Linux deb-dev-test 3.2.0-4-amd64 #1 SMP Debian 3.2.65-1+deb7u2 x86_64 GNU/Linux
 ~ $ cat /etc/debian_version 
7.8

I’m try to use ZMQ_RCVHWM & ZMQ_SNDHWM options on ZMQ_PAIR/ZMQ_PUSH sockets, but this has no effect.

Pubilsher code:

#include <iostream>
#include <zmq.hpp>

int main(int, char**) {
    zmq::context_t context (1);
    zmq::socket_t socket (context, ZMQ_PAIR);

    int HWM = 1;
    socket.setsockopt(ZMQ_SNDHWM, &HWM, sizeof(HWM));
    socket.setsockopt(ZMQ_RCVHWM, &HWM, sizeof(HWM));

    socket.bind("tcp://*:9876");

    int count = 0;
    while(true) {
        zmq::message_t msg(1024);
        socket.send(msg);
        std::cout << "count " << count << '\n';
        count++;
    }
}

Subscriber code:

#include <unistd.h>
#include <iostream>
#include <zmq.hpp>

int main(int, char**) {
    zmq::context_t context (1);

    zmq::socket_t socket (context, ZMQ_PAIR);
    int HWM = 1;
    socket.setsockopt(ZMQ_RCVHWM, &HWM, sizeof(HWM));
    socket.setsockopt(ZMQ_SNDHWM, &HWM, sizeof(HWM));

    socket.connect("tcp://127.0.0.1:9876");

    int count = 0;
    while(true) {
        zmq::message_t msg;
        socket.recv(&msg);
        std::cout << "count " << count << '\n';
        count++;
        usleep(1000000);
    }
}

I expect that the publisher will be blocked, after sending second message. But this doesn’t happen. Publisher example:

$ ./pub                                                                                         
count 0
count 1
count 2
count 3
******
count 385
count 386
count 387
count 388
^C

Subscriber at same moment:

roman@deb-dev-test.virtual cpp $ ./sub 
count 0
count 1
^C

What I do wrong, or this is bug?