According to their docs it should create a folder in your applications directory as such
View attachment 2114628
It is possible they have multiple packages. One for clients and one for server installations or similar. You may want to check you installed the right one.
Nothing further should be needed but since I’m not familiar with using Zscaler specifically I can’t help much further than this is you’re not seeing what the docs describe. In that case I advice contacting their support