It's simply because Zorin Appearance is hard-coded to behave this way. There is a matching light/dark theme for each accent color that gets selected when you use any of the available options. Anything beyond this needs to be applied either through Gnome Tweaks or through the command line:
For example, here's one case where the user wanted a dark taskbar but retaining the light theme on other windows, and my work around for it:
And a similar issue with resetting the icons:
EDIT: Looking at this thread now, you might be able to get away with setting your own profile right there: