While chromosome-wide dosage compensation of the X chromosome has been found in many species, studies in ZW clades have indicated that compensation of the Z is more localized and/or incomplete. In the ZW Lepidoptera, some species show complete compensation of the Z chromosome, while others lack full equalization, but what drives these inconsistencies is unclear. Here, we compare patterns of male and female gene expression on the Z chromosome of two closely related butterfly species, Papilio xuthus and Papilio machaon, and in multiple tissues of two moths species, Plodia interpunctella and Bombyx mori, which were previously found to differ in the extent to which they equalize Z-linked gene expression between the sexes. We find that, while some species and tissues seem to have incomplete dosage compensation, this is in fact due to the accumulation of male-biased genes and the depletion of female-biased genes on the Z chromosome. Once this is accounted for, the Z chromosome is fully compensated in all four species, through the up-regulation of Z expression in females and in some cases additional down-regulation in males. We further find that both sex-biased genes and Z-linked genes have increased rates of expression divergence in this clade, and that this can lead to fast shifts in patterns of gene expression even between closely related species. Taken together, these results show that the uneven distribution of sex-biased genes on sex chromosomes can confound conclusions about dosage compensation and that Z chromosome-wide dosage compensation is not only possible but ubiquitous among Lepidoptera.