Any reason why this device wouldn't have Z-Wave? Is the wireless protocol significantly different than Thread and Zigbee?
I don't know for sure but Bluetooth, WiFi and Zigbee are on the same frequency band. Z-Wave is not.
(at least in the US, not sure about other countries)
This device only has a 2.4GHz radio. Z-Wave is sub-1GHz.
As I understand it, Z-Wave is substantially more closed/proprietary. Both Thread and Zigbee are protocols that run on top of 802.15.4, which Espressif already has in other products.