MartinL is correct that, although there is a footprint on the MKR Zero's PCB, the chip is not populated.
That library reference page is automatically generated. The "compatibility" list is determined by the architectures list specified in the library's metadata file:
The assumption is made that any board of that architecture is compatible with the library. That's not necessarily wrong, since you can attach an ATECCx08 modules or chip to one of the boards that doesn't have it onboard, or even populate the footprint in the case of the MKR Zero (assuming you have some SMT soldering skills), but I do think the wording could be made less strong (e.g., "you may be able to use it on the following Arduino boards"). The MKR Zero is not the only board on that list without an onboard ATECCx08 chip.
I personally am actually glad to have the option of more simple boards without any extra unnecessary parts such as the crypto chip. It makes sense on a board with network connectivity, but not so much for a board like the MKR Zero. The more feature rich boards are great if you happen to need that specific functionality, but if not then the extra parts only increase the price and might cause interference or increased power consumption.
I like the MKR Zero and Nano Every specifically because they are close to a basic breakout board for the microcontroller. I can use them to learn about and experiment with that microcontroller with less fear of making an expensive mistake. Then when I'm ready for some more demanding project, the fundamentals I learned about the microcontroller will apply just as well to the more fancy boards that use the same MCU.