I have seen capacitive dropper circuits implemented in mains electricity meters, to power a small MCU inside the meter.
The circuit used a self-healing metallized film capacitor. When the capacitor get hits with brief high-voltage transients on the mains, the capacitor can break down for a short time; metal film near the breakdown location vaporizes; but the fault clears. The capacitor keeps working, but its capacitance now is slightly less.
After a few years of exposure to such transients, the capacitor's capacitance value can drop to a point where it no longer provides enough current for the circuit it powers. That's what happened to this particular batch of meters - after a few years of service, the MCU wouldn't operate reliably.
If you feed mains power to the zener using a resistor, you still have to keep these transients in mind, and design accordingly. Some resistors will seem to go short-circuit during kV level transients, due to the insulation on the resistor body breaking down. Under these conditions, the nominal high value of resistance is no longer in effect. Your circuit no longer has a simple resistor.
The approach I have seen in some telecommunications power supplies is to use two long (eg. 1/2 inch) power resistors in series for the resistive feed. The resistors were chosen not for the power rating but for the body length. The increased body length helped the resistors avoid breakdown under commonly occurring transient conditions (and also reduced sneak paths due to stray capacitance). Other posters have mentioned multiple resistors in series.
240 V mains isn't just 240 V. It has all sorts of transients on it, like lightning strikes and near-strikes, and switching transients from heavy machinery located in your area. If you want your circuit to last a few years, think about what voltage and energy spikes you want it to withstand. Keep in mind that a capacitive dropper may have a wear-out mechanism, as described.