It’s true. English and the main Spain version of Spanish are two of the few languages in the world which have the sound. Even most Latin American versions of Spanish (maybe all?) do not have it.
https://translate.google.com/?sl=da&tl=en&text=rødgrød%20med...
(click the speak icon)
c+a/o/u sounds like k (casa, cosa, cuchara) and z+e/i does not exist.
- Words that are only written with Z: zepelín, zigurat, zigzag.
- Words that can be written with either Z or C: zénit, zinc, zirconio, azimut.
My main point is that if you hear the sounds "th" (za) with e or i 99% it is cena or circo and will not be zena or zirco. It is an heuristic but very reliable.
P.S. Or pececín, as a random example :P