This plant is hardy to zones 8 or 9.

Yes, you're right; as a perennial in zones 8 or 9. I've seen it listed as an annual in zones 4-8.

The plants displayed at the Calgary Zoo are on trial for local conditions (zone 3 foothills, high elevation, similar to the mountainous areas of Idaho).

It occurs in every state in the US, so it must be coming back as an annual? See the enclosed map.

Here is a link that might be useful: USDA plant database

I am zone 8. It did not survive winter here both times I've planted it. The first winter was very mild. Last winter we had a bad cold snap in February but it died long before.
It did not reseed. It is however a stunning annual. 'Purple Majesty' ornamental millet is a wonderful plant.