It's isn't just the UK that has a firearms embargo to Zimbabwe, it's the entire EU...... but the UK tends to enforce that ban rather more strictly than the rest of the EU. However, as there is an EU wide ban, it's not impossible that an anti nunting check in agent etc anywhere in the EU could make life difficult for you if they think you're final destination is Zimbabwe.

My advice would be that if you're flying through ANY EU country, you have two sets of tickets. - One set to take you to RSA and another set to take you from RSA to Zim.

Also make a point of asking your travel agent to enter the fact that you're travelling with SPORTING FIREARMS (note that exact phrase) in the comments section of your booking and make sure to take a hard copy of that comment with you when you travel.