how dangerous is it to give zsh full disk access?
There’s no inherent danger per se with respect to ZSH; it’s only a shell.
What is “dangerous” is what you run in the shell.   Most users don’t use the shell so securing it gives a nice level of extra security so when they inadvertently download nefarious apps from the Internet, they will have the protection that the shell doesn’t have full disk access.
Is it overkill?  In my opinion, no.  If you run scripts like this backup script, you’re going to want access to more than just one or two directories (which you can do, by the way); you’ll want access to the whole disk.