A few years ago, Zotero actually made me content with the fact that I would need an external PDF reader. Then they unexpectedly rolled out their own, but by this point I am so happy with Okular that I have barely even tried Zotero's built-in PDF reader. Mostly because of Okular's great annotation, which Zotero then automatically synchronizes. A far cry from Mendeley's terrible walled garden.
I find the built-in one pretty great: has light and dark modes, good annotations, performs well. The only thing missing is this fullscreen behavior, which should exist by default IMO.
Just tried it out on Linux for the first time too but am sticking with Okular.
Tired reading in Zoteros PDF viewer but it's not as seamless as Okular.
I have one big reason to use Zotero’s built-in one: They have a pretty good iPad app that syncs PDF highlights and comments with it.
This is my major reason as well. I run a Mac, Windows machine, and have iPhone / iPad devices spread around. I am constantly working with PDFs and highlighting them and having those highlights sync cross platform has been amazing.