You can use
sudo -H nautilus
Or
sudo -i
nautilus
The reason it is dangerous is because on occasions (even though it is fine most of the time), it can create a hefty permissions error. Your configurations are stored in home, but running directly off of sudo, you are running from Root. Since you are launching from Home, as Root, with no front end, it can cause the system to write any changes as owned by Root.
This can cause a variety of difficult to diagnose problems - and on this forum we have undoubtedly come across this many times without ever knowing that this was the cause.
Aside:
Zorin Core is nautilus
Zorin Lite is thunar