If they allow you to access email, work apps, etc off corporate network then they don’t care and you’re not exfiltrating anything against their wishes. To suggest otherwise is just goofy. They weren’t suggesting you move data via a usb drive or something. Even that your employer would disable if they cared.

Depends on what counts “employer data”. If you type a question into ChatGPT is that “employer data” even if it is a work related coding question? Probably not.

If an employer is using Zscaler and employees can still “pass employer data” anyway then Zscaler isn’t achieving anything. Get rid of it so employees won’t try to work around such intrusive monitoring.