Thanks to jeff for this tip!

Apparently, and I am summarizing a MacFixit note, having the "File Exchange Control Panel" version 3.0.3 that comes with OS9/9.04, allows Win/Dos formatting of Zip disks on the Mac.

However, if you upgraded to 9.1, you will need to put v3.0.3 back in order to do this, since whatever the new version is doesn't allow this. I wasn't even aware this was possible (it wasn't when I first got my zip).