Q : Where or on which system are the messaging queues?
The concept of the Zen-of-Zero, as built-into ZeroMQ uses smart and right enough approches, on a case by case principle.
There cases, where there are no-Queues, as you know them, at all :
for example, the inproc:// transport-class has no Queue, as one may know 'em, as there are just memory-regions, across which the messages are put and read-from. The whole magic thus appears inside the special component - the Context()-instance. There the message-memory-mapping takes place. The inproc:// case is a special case, where no I/O-thread(s) are needed at all, as the whole process is purely memory-mapping based and the Context()-instance manipulates its internal states, so as to emulate both an externally provided abstraction of the Queue-alike behaviour and also the internal "Queue"-management.
Others, similarly, operate localhost-located internal Queue(s) endpoints :
for obvious reason, as the ZeroMQ is a broker-less system, there is no "central"-place and all the functionality is spread across the participating ( coordinated and cooperating ) nodes.
Either one of the Queue-ends reside inside the Context()-instances, one in the one-side's localhost-itself, the other in the "remote"-host located Context()-instance, as was declared and coordinated during building of the ZMTP/RFC-specified socket-archetype .bind()/.connect() construction. Since a positive acknowledgement was made for such a ZMTP-specific-socket, the Queue-abstraction ( implemented in a distributed-system-manner ) holds till such socket does not get .close()-ed or the Context()-instance did not get forcefully or by a chance .term()-ed.
For these reasons, the proper capacity sizings are needed, as the messages may reside inside the Context()-operated memory before it gets transported across the { network | ipc-channel }-mediated connection ( on the .send()-side ) or before being .recv()-ed ( from inside the remote Context()-instance ) by the remote application-code for any further use of the message-payload data ( a Zero-copy message-data management is possible, yet not all use-cases indeed use this mode for avoiding replicated memory-allocations and data-transfer costs ).