As some have recommended, you can enable Windows Defender to run alongside Zemana Anti-Mlaware Premium - that choice is available for you to decide.
On Windows 10 AU, you can allow Windows Defender to periodically scan your system - very similar to an on-demand scanner - it's called Limited Periodic Scanning and does not conflict with your current real-time protection.
Which 3rd party Firewall do you use, if not Windows Firewall?
Others have mentioned Windows Smartscreen, it uses minimal resources and does not appear often, but adds an extra layer of protection without much user interaction or maintenance. Windows Smartscreen uses Application Reputation (introduced around IE9) and is system-wide in Windows 8 or later.
To further enhance your PC protection, you can upgrade to Zemana Anti-Logger Premium (v2), it includes all features of Zemana Anti-Malware Premium with a couple extras (ie. keylogger protection).
How were you last affected by malware?