WARNING: Tube/Valve amplifiers use potentially LETHAL HIGH VOLTAGES.
Building, troubleshooting and testing of these amplifiers should only be
performed by someone who is thoroughly familiar with
the safety precautions around high voltages.
You should still use the zener to avoid damage to the LM317 in the (albeit unlikely) case of cathode voltage creeping too high. It has a max working voltage of 37V. 15V Zener diode will also prevent the tube venturing too deep into class B.