As mentioned, some of the zone transitions take place over a certain amount of distance...a sort of "then there is x miles of boring terrain along this route to the next major area" type thing.

If they were to add the in between areas as zones then they'd certainly need to make sure it has the transition you point out (though with Coerthas in particular they could still get away with a sudden shift as the weather there is unnatural). We just don't have those transition zones in the game at present.