If you have set SMFACCT=YES in CQS6SYSP and re-assembled the macro, refresh LLA and restart the queue manager making sure you pick up the lastest CSQ6SYSP member when you link CSQZPARM. (Check the parm on the EXEC statement too that you are picking up the right CSQZPARM).
SMF first goes to the MANN VSAM datasets I believe. Most shops spill those to a flat file for reporting at some interval. There is also a parameter in SYS1.PARMLIB that needs to be set properly so 115 and 116's are gathered. Talk with your MVS team for some help.
Also, a quick search in GOOGLE results in this from the MQ manuals:
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