Hi, and welcome to Zorin OS!
One of the things about having freedom of choice, in this case I'm particularly referring to software, is that too many options can be overwhelming at first. And in Linux, there are a few package formats that one can choose from which all have their own pros & cons.
As a general rule of thumb, I would recommend installing the native version to your distribution. For Zorin OS, being based on Ubuntu, which is in turn based on Debian, I that would be the aptly called Debian packages. Those are files with a .deb extension, which is similar to Windows' .msi installers.
It's fine to mix and match package formats, but not for the same software, as that can lead to unexpected issues that are hard to troubleshoot and fix. That is, don't install Firefox (or whatever) as both Flatpak and Debian packages, but it's fine to install Firefox as a Flatpak and Brave as a Debian package.
This is a complex topic, so take it slow. I'd suggest going through some of the threads in the forum as this has been discussed many times, and because every software is different, it's difficult to make any definitive claims about either package format. For example: