When Zhao won the first time, he didn't bother taking that many prisoners. Leaving the WaterBenders helpless in their homeland seemed more cruel. I mean, since they couldn't water bend anymore, their lives would be way more difficult.
but still, they could be yet another prizee for the fire lord. Or I'm sure Zhao would not mind having his own personal severants/slaves. But then again, with such presious cargo, why risk it?