I too have heard of a 3rd Zemlinsky symphony (when reading the program
notes to the (rather fine, imho) Marco Polo recording of the first
symphony, which lacks the more recently discovered 4th movement.) I
have since learned that that 3rd symphony may well simply be simply the
Seejungfrau symphonic poem misidentified, or somesuch.  Groves does make
mistakes.  (Groves V and the more recent edition both...) And of course
I could be even more mistaken still...

-Eric Schissel welcomes clarification. Is Mr. Beaumont on this list?