If you check the schematic for the MKR Connector Carrier (which you can download from the “Documentation” tab of the product page), you can see the circuit it connects to A0:
The resistors form a voltage divider to reduce 5 V signals to the 3.3 V maximum input voltage of the MKR boards. I believe the capacitor is there to protect the microcontroller’s input pin from voltage spikes induced on the cable.
I don’t know anything about the DAC functionality of the MKR Zero, but I don’t see anything about that circuit that would make it dangerous to use DAC with the MKR Carrier Board. On the other hand, it is possible the circuit could have unwanted effects in specific applications. If this is an issue, you can bend the A0 pin out a little bit before inserting the MKR Zero into the MKR Connector Carrier, so that the A0 pin doesn’t go into the MKR Connector Carrier’s female header. Then you can still connect to the A0 pin via the female header on the MKR Zero, but not via the A0 Grove connector on the MKR Connector Carrier. Please be careful to only bend the pin the minimum amount necessary, since repeated sharp bends of the pin will weaken the metal and eventually cause it to break off.