What will gain be when both the zener diodes are conducting?
We do consider the effect of the diodes.



The red line shows what the transfer function should look like.

The blue line shows what the transfer function would look like if the Zener diodes were considered conducting, but you ignored the diode drops.

The green line shows the transfer function if the Zener diodes are assumed conducting (even in regions where they aren't) and you include the diode drops.

Since the slope of the green and blue lines are the same, you can use the parallel combination of the two resistors to find the slope of the transfer function in the case where the diodes are active. 

You then have to make a separate calculation to find the offset, and this takes account of the diode drops.