Well, that series resistor isn't there only to limit zener current. It's to provide a voltage drop for the difference between the supply voltage and the zener voltage. Remember that the series resistor, zener and supply are a series circuit. The zener voltage plus the voltage across the resistor equals the supply voltage. If the zener were connected directly across the supply, it would try to "zener" at (for instance) 5.1 volts while the supply wanted 12 volts at its output; guess what would win out on that one?
Transformers isolate for safety reasons. You don't want the "hot" side of the mains to be connected to any metallic part of the equipment that can be touched by the user. IF the user was grounded and touched a hot chassis, he/she could be shocked or electrocuted. Even modern switchers include a power transformer, albeit because of the switching frequency, is a lot smaller and lighter -- and still there for the isolation. In addition, power transformers can provide multiple secondaries to supply various voltages that otherwise might require a very inefficient voltage divider or zener regulator to derive.
Your text is likely using a variable resistor to simulate a load current that's changing to illustrate how the zener operates with the series resistor to stabilize the output voltage. They just don't usually completely open the load resistor (zero output current) or take it all the way to a dead short (maximum output current) as the first could cause overdissipation of the zener and the second would cause the series resistor to go up in smoke.
Dean