You can't use a font like siji with dzen2. dzen2 only supports one font, and XBM icons, so that's how you're supposed to get icons working.
On the other hand, lemonbar supports "fallback fonts" which lets you specify multiple fonts, so that if the first one doesn't include a glyph, it then uses the second one to display it. You can use this hack to get icons in your bar, by using, eg, siji as a fallback font.
URxvt uses the same mechanism.