Since yesterday I'm happy user of commercial version of LW.
LW complains about unshadowed symbol `identity'. Yeah, that's strange it wasn't yet catched by 3 other lisps I tested with (sbcl, clisp, ccl). Other minor problem was with `trivial-garbage' library: it uses `hcl:mark-and-sweep', but this function exists only on 32-bit LWs. 64-bit uses `system:marking-gc'. Also `system::hash-table-weak-kind' has a bit different name: `system::hash-table-%weak-kind'.
Otherwise everything works good. LW is officially supported by CL-ZMQ now :)