How can I receive multipart messages with ZeroMQ?

Probably C version of code doesn't work either, but you don't check the return code of zmq_recv, so you don't notice it. Also, when receiving miltipart messages you should check if there are more message parts to be received through the socket, like this:

int64_t more = 0;
size_t more_size = sizeof(more);
socket.getsockopt(ZMQ_RCVMORE, &more, &more_size);
if (more != 0)
{
  //has more parts
}

Also, take a look at ZmqMessage C++ library designed specifically for Sending and receiving ZeroMQ multipart messages.