When I first heard about Zen, I’ve tested it with EFF like I do for all web browsers I experiment with (from most mainstream to most unknown). Unfortunately, it doesn’t offer a full privacy.
Not everyone cares, but if this is something important for you, Librewolf has been the only one to come up with a full privacy protection result. Maybe you could achieve a good result if you use Arkenfox with Firefox… I didn’t try it.
Some sites don’t load because of some features disabled in Librewolf. You can enable them and have the sites load, but it defeats the purpose of the Librewolf configuration choices. Nonetheless this is still an option :)