When you set de strategy for complex type detection and handling the Class WSLD use the param $strategy and recive this values True, False or String Value

For True value the function setComplexTypeStrategy does

        require_once "Zend/Soap/Wsdl/Strategy/DefaultComplexType.php";  #Include the Strategy File
        $strategy = new Zend_Soap_Wsdl_Strategy_DefaultComplexType(); #Set the object with the class defined on the Strategy  Include file

For the False value does:

        require_once "Zend/Soap/Wsdl/Strategy/AnyType.php"; #Include the Strategy File
        $strategy = new Zend_Soap_Wsdl_Strategy_AnyType(); #Set the object with the class defined on the Strategy  Include file

But in the String Value case, exists those values :

Zend_Soap_Wsdl_Strategy_ArrayOfTypeSequence or Zend_Soap_Wsdl_Strategy_ArrayOfTypeComplex

The function try to check if the $strategy class exists, and if this class its not defined, thow an Expection.. thats Ok...

if(class_exists($strategy)) {
    $strategy = new $strategy();
} else {
    require_once "Zend/Soap/Wsdl/Exception.php";
    throw new Zend_Soap_Wsdl_Exception(
        sprintf("Strategy with name '%s does not exist.", $strategy
    ));
}

but, how its gonna exists the class if you doesn't include the class file like the other boolean cases.

I did a Fix for this including the strategy file class with

//----------- Here -------------- require_once str_replace("_", "/", $strategy) . ".php"; //----------- End Here --------------

if(class_exists($strategy)) {
    $strategy = new $strategy();
} else {
    require_once "Zend/Soap/Wsdl/Exception.php";
    throw new Zend_Soap_Wsdl_Exception(
        sprintf("Strategy with name '%s does not exist.", $strategy
    ));
}

and now with Zend_Soap_Wsdl_Strategy_ArrayOfTypeSequence or Zend_Soap_Wsdl_Strategy_ArrayOfTypeComplex cases, the WSLD class load the files "Zend/Soap/Wsdl/Strategy/ArrayOfTypeSequence.php" and "Zend/Soap/Wsdl/Strategy/ArrayOfTypeComplex.php"

Regards