What is the value of the 'Clipping' property of both the axes and the objects in question?
By default axes clipping should be on so unless you have switched it off this doesn't sound like a problem.
However, the individual objects also have a 'Clipping' property which will determine whether the object is clipped or not.
I cannot tell from your screenshots, but are the shapes that are entirely outside of the zoomed axes also still plotted somewhere on the GUI or is it just shapes some part of which lies still within the zoomed axes which are still showing.
If it is the latter then I would guess that they have 'Clipping' set to off. I'm not familiar with plotting shapes like what you show on axes though (I tend to plot images or line plots mostly and they clip as they should by default) so I may be incorrect in that guess.