Whats wrong this this specific url?
The underscore.
From RFC 1912
Allowable characters in a label for a host name are only ASCII
     letters, digits, and the `-' character.
Edit
After doing some more reading, it seems that Zend may be wrong in this case.
See Can (domain name) subdomains have an underscore "_" in it?
According to ZF-9671, you might be out of luck, though I've re-opened the issue.
My suggestion in the meantime; Create your own HTTP client class like this
class My_Http_Client extends Zend_Http_Client
{
    public function validateHost($host = null)
    {
        if ($host === null) {
            $host = $this->_host;
        }
        // If the host is empty, then it is considered invalid
        if (strlen($host) === 0) {
            return false;
        }
        return true;
    }
}