The PowerSchool application you are using may be participating in a super districts setup. This allows sub-districts to be created and each school can be a member of those sub-districts. When super districts are enabled in the Agent, the Agent will read district zone information from the sub-districts table in PowerSchool.
If the Agent currently has zones configured, changing this setting will delete all zones when the settings dialog is closed. You will need to recreate all the zones, and agents in these zones will also need to be resynchronized.
The Super Districts feature is enabled/disabled from a drop-down list in the "Agent supports super districts?" field.
Before you enable this feature, please verify that your PowerSchool application supports Super Districts.