There is nothing stopping Zapier from having a log4shell style vulnerability that exposes you to the same. The only difference is you're treating Zapier as a blackbox that you assume is secure, and any security issue is theirs and theirs alone. While with GHA you share that responsibility with GitHub. GitHub can screw up with a log4shell type exploit in how they handle the initial GHA scheduling too, but also you can have your own vulnerability in which ever arbitrary code you run to handle the trigger.

You can also do a lot more with GHA compared to waiting for Zapier to support your scenario. Plus most people I knew who used Zapier connected it to some Lambda or another webhook where they got the data from there and ran arbitrary code anyway.