Those are different types of so-called display servers, which make things like windows interactive and such (I'm going with a very loose definition here). For now, just know that Zorin OS uses Wayland by default, which is the newer (relative to X11 anyway) but still not quite up there technology, with issues here and there.
To change between them, you have to first login to your account normally, and then logout. Once you're back at the login screen, you'll see a wheel at the lower right corner with two options, like so:
Select the one you want (in this case, try with Xorg) and login normally.