Yes you did - you suggested passing employer data through a non employer laptop
If an employer is using Zscaler and employees can still “pass employer data” anyway then Zscaler isn’t achieving anything. Get rid of it so employees won’t try to work around such intrusive monitoring.
Where this gets a bit more complicated is doing stuff relates to the matter of employment on the work laptop. The classic example of this going badly is union organization, which in many but not all places is a legally protected activity but may still invite illegal retaliation. HR disputes are another one where it may be extremely necessary to "exfiltrate" some emails regarding your terms and conditions.