The idea being that it's similar to using other enterprise solutions, many of which do the same things now.
Zscaler does have lesser settings too, at it's most basic it can do split tunneling for internal services at an enterprise level and easy user management. Which is a huge plus.
I'd also like to point out that the entire Internet is a third party you have no control over which you open your external traffic to everyday.
The bigger deal would be the internal network, which is also a valid argument.
Zscaler being the middleman is somewhat the point for security/IT teams using that feature.