I can definitely confirm, that FxSound is working fine with Zoom (expecting most current versions for both).
The issue described seems to be more of a general problem with the selection of the proper sound device within the Zoom client as @bvijay mentioned already. Zoom has many technical issues users are worrying about. Even when not configured as “default communication device” in Windows (not to be confused with “default audio device”), it can be manually selected inside the Zoom clients audio settings fine (just not automatically in this case).
Also, options on the Windows-side which often cause issues are “decrease volume on incoming call” and the “exclusive mode” (google for something like “windows sound disable exclusive mode”).