Make sure you are using the version of the Blink sketch like you get from the Arduino IDE menus at File > Examples > 01.Basic > Blink. The reason I say this is because you can find some blink sketches that assume the built-in LED is on pin 13, as is the case on the classic Arduino boards. But the MKR Zero's microcontroller has enough pins to allow the LED to be put on a dedicated pin (32) so it doesn't interfere with the use of one of the normal pins. There is a macro named LED_BUILTIN that is set to the correct pin for the LED. The official Blink example uses this macro to ensure it will work on all Arduino boards no matter which pin their LED happens to be on.