Hello, @DeHaven Graham !
How do the features of Zscaler and Azure ExpressRoute compare?
Broadly speaking from the perspective of someone who is familiar with ExpressRoute and has done a limited amount of research into Zscaler, it sounds like both will get you from point A to point B with different emphasis on how you get there. After the summary, I've included some links for additional information at the bottom.
ExpressRoute offers a private, direct connection between on-premises and Azure resources that doesn't go over the public internet with an emphasis on data speed, bandwidth, latency, and in some cases cost savings on data transfer.
Zscaler on the other hand, advertises user experience, security, less complexity for admins, and a private, direct-to-cloud access that then leverages the Azure network. On the Azure side of things, Zscaler has several integrations with Azure Active Directory to manage security and identity.
Diagram from Zscaler, showing Zscaler Private Access next to Azure ExpressRoute:
Additional Reading: