Zebra does not create directories prerequisite for it's MRT dumps. mkzebradirs does this for us. example cron usage:
# create directories for zebra MRT dumps. the interval is 6 days (518400 s)
# so that we cover all months (those with 27 - 31 days). if the path in
# zebra's bgpd.conf changes, it needs to be reflected here.
1 23 27 * * /usr/local/bin/mkzebradirs -i 518400 /mnt/bgpdata/%Y.%m/UPDATES /mnt/bgpdata/%Y.%m/RIBS