It's not that he's really vain, or a joke from the programmers. It's actually a result of an internal system that was put in place to prevent a large number of Facebook users from all blocking the same individual.
With the waves of complaints about changes to Facebook's privacy policies, many users blocked Zuckerberg as a form of protest, thereby making him 'unblockable.'
In fact, there was a campaign called "Block Zuck" whose intent was to get a mass number of people to block Mark Zuckerberg. They are the ones that first found out he was unblockable.