By default, the Zorin grub theme should be enabled as specified in Zorin OS. But if something has changed that or if a user wishes to use a different grub theme, I would like to give a quick idea of how to change the Grub Theme which will work on most distros anyway.
In this case, navigate to /usr/share/grub/themes. It does not matter if you elevate your File Manager to root or not - you just want to make sure that the Zorin OS theme is present in that directory (Or that the theme you want to enable is present.)
You should see the theme Directory (In this case Zorin) containing the files for the theme incl. background image, theme.txt and any other assets.
Edit grub to reference the theme.
sudo nano /etc/default/grub
Add this line: GRUB_THEME=/boot/grub/themes/Zorin/theme.txt
Change the directory in path from Zorin to the theme you wish to use if using something else.
Press ctrl+alt+x to exit the editor, then press the y key to say yes to save, then the enter key to save as current configuration.
The terminal should revert to normal. Now, update grub again with
sudo update-grub
Reboot and test.