You can combine the segments and then merge the poly vertices after pfx to poly conversion, but in most cases the branches are not seamesly connected to the trunk. So maybe for your case more dramatic changes in the poly topology have to be done before going in zbrsuh. There is a very cool video tuttorial from alias, where is explained the pfx>poly>zbrush>maya pipeline. I`m suggesting it to everyone thats working with pfx.
With Regards,
Nikolai Atanasov