the CFI has started telling students to set QFE on departure whether they intend to depart the ATZ or not, and to change to QNH when they are leaving the circuit for the local area.
For ages I used QFE for circuit/landing and QNH if I was leaving the ATZ, then I flew with an instructor that said the same thing as your CFI, I do it when I fly with him (not that often) but any other time I set QNH if I'm leaving. Like you said it has the potential to confuse when departing the zone, people might forget to set QNH.