Zero Knowledge vs. Digital Signature
In Zero knowledge protocols , the verifier trying to verify the validity of the prover's arguments or parameters. So according to the theory , the verifier doesn't know anything about the prover in the beginning and gain knowledge when the testing process goes along. This is a statistical approach and probability of the "truth" increases when you do more tests. 

Contrary , if you using a PSK system, you have the knowledge about the prover and verification process is one time and binary(either true or false).

Yes the Zero-knowledge protocols requires more processing power and consume more time.