We use SFDC for all our customer data so it makes sense from a management perspective. We do all our reporting in SFDC and having tickets in Zendesk/Gooddata meant our leadership had less visibility into Support's contribution.
Also, Zendesk is missing some queue management features like round-robin assignment and real-time ticket distribution viewing/management.
That said, this is what I've learned so far, 2 months into the migration project:
--SFDC is 3-4X more expensive, and this cost will only increase as you add more named customer licenses.
--Zendesk has more useful integrations enabled as part of the core platform (I have to integrate with Jira and Twilio separately).
--SFDC is very powerful and very complex (READ: very few useful components out-of-the-box. Zendesk/Goodddata have lots of precanned reports that were helpful)
--I'll have to build own feedback mechanism (Zendesk sends a feedback survey to the person who filed the ticket automatically).
The bottom line, SFDC offers great power but to leverage it you'll have to become an SFDC expert, which is probably a good thing.