I have had the same problem described in this thread. I thought maybe it was due a discrepancy in projections for the feature classes, but that is not the case. The only way I have been able to bypass the clip tool in order to preserve Z values is to:
1. Run Intersect with the polygon and polyline Z feature to output intersection points
2. split line at intersection points
3. select line that have their centroid inside the polygon
4. switch selection and delete features
This clips the lines, but retains all the Z values. It is very unfortunate that there are so many steps in order to do exactly what the clip feature should do. Hopefully someone else comes up with a better work around or ESRI fixes whatever might be happening in the clip process.