I'm not going to claim Zed has a good UI in this space, but saying it doesn't implement Ctrl + Z for a feature which is literally "skip the undo-ability of this option" is a bit misleading.
"Delete" is the last option in the right click menu for both and when you select it both show a very similar dialogue box asking you to confirm.
VSCode's 'Delete' by default moves the file to the trash and can be undone with Ctrl + Z. Zed's 'Delete' skips the trash and can't be undone with Ctrl + Z.
I should have mentioned the confirmation box but after years of use I've begun clicking through that box so quick I didn't realize the behavior was different in Zed.
After years of deleting files in VSCode I have a muscle memory for that behavior and I just skip through the dialogue. I didn't realize Zed's 'Delete' worked differently until I lost work, so I was just reflexively skipping through its confirm screen as well.