Based on ZScaler Client Connector Help > Getting Started > What is Zscaler Client Connector? it creates on desktop devices (Windows, MacOS) a local network adapter where all traffic passes through:
How does Zscaler Client Connector work?
When you install
Zscaler Client Connector for PC, a Zscaler Network Adapter is also
installed on your user's computer. When the user connects to the web,
the network adapter captures web traffic from that device.
While it does not use the term "VPN" here in the context of desktop devices it is essentially similar to a VPN. This also means that it affects all traffic on the machine, not only traffic from the browsers.
With mobile devices it even specifically says that a VPN is created:
When you install Zscaler Client Connector on a mobile device, ...
... The device then establishes a local VPN tunnel that captures
application traffic and directs it to Zscaler Client Connector on the