Like Bal said, Zbrush's matcap system isn't really meant with few faces in mind. It'll take even more subdiv levels (5 or 6) to get an 8 sided cylinder looking smooth.
Control Loops, 16 or 32 sides, import in ZB, Sculpt away. ZBrush doesn't have a smooth mode, unlike Mudbox which does, so it's pretty much showing each face on it's own. If you Zoom in close enough, even a 6 million mesh simply has tiny faces.