ZETA Shield isn't in the current KL's products anymore. It has been removed at least 2 versions past.If at all the concerned app is risky and I allow some initial actions, the System Watcher+other restrictions+ZETA approach of Kaspersky (and my complementary protections) should further do the guarding.
Don't worry, though. They said that ZETA Shield has been "transferred" to the cloud. If I get them right, it's now part of signature updates.