When building a select box in Zend_Form using ajax you will probably need to use:
setRegisterInArrayValidator(false)
Otherwise it will try to validate the submitted value against the original form object (which probably won't have the values.)
From the docs:
By default, this element registers an InArray validator which validates against the array keys of registered options. You can disable this behavior by either calling setRegisterInArrayValidator(false), or by passing a false value to the registerInArrayValidator configuration key.