I found a bug causing the log errors described above in the zed.err log:
The aliases point to the wrong file names:
ls /etc/zfs/zed.d/
lrwxr-xr-x 1 root wheel 47B Jan 2 15:05 zvol.create.sh -> /usr/local/zfs/libexec/zfs/zed.d/zvol.create.sh
lrwxr-xr-x 1 root wheel 47B Jan 2 15:05 zvol.remove.sh -> /usr/local/zfs/libexec/zfs/zed.d/zvol.remove.sh
ls /usr/local/zfs/libexec/zfs/zed.d/
-rwxr-xr-x 1 root wheel 1.0K Dec 1 12:23 zvol_create.sh
-rwxr-xr-x 1 root wheel 784B Dec 1 12:23 zvol_remove.sh