Is Zena actually different from the other Mint versions?

Zena is the name of a Linux Mint release, not a separate flavor. Mint’s desktop editions, such as Cinnamon, MATE, and Xfce, are the more meaningful differences. Moving between Mint point releases usually won’t change how Windows programs behave.

For Windows games, look at the compatibility layer and game-specific settings first. Proton versions can behave differently, and some games may need a particular one. Graphics drivers can matter too, especially if your system needs a proprietary driver that is not already active. Switching to another Mint point release is unlikely to be the fix by itself.

If you’re choosing between Mint and Zorin, I’d focus on the desktop and tools you prefer rather than expecting one to run Windows software dramatically better. Compatibility depends a lot on the individual app or game, its launcher, drivers, and the compatibility software involved. Check those details for the specific program before reinstalling your whole system.

There are differing opinions about which Linux distribution has the broadest support, but the distribution alone does not guarantee that every Windows app will work. Mint is a reasonable general-purpose choice. If your current setup is mostly working, troubleshoot the remaining problems one by one before changing distributions.