As a Linux Distro, Zorin OS is as secure as any, really. Zorin OS does not come with any spyware or personal monitoring software.
At most, it does include the Zorin OS Census which does not record any personal data, but merely reports to the Zorin Group how many people are actively using Zorin OS. You can Opt Out of the Zorin census.
Much of security depends on you. It is not especially secure nor especially insecure.
If you would like to increase security on your installation, please take the appropriate additional steps you would take to secure your system you find necessary.
https://implex.io/posts/ubuntu-20-04-setup/
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