Richard,
I sell and install many Zeus regulators. They are excellent. After working with a Zeus the Balmar MC624 seems like it is made for cave men.
I personally do not have a Zeus alternator (because boat already had big large case Balmar) but we have used them and they are also excellent. The heat shedding capability on their small case units is among the best we have seen other than alternators with the rectifier diodes remote.
In most cases I buy the Zeus part number (AZ1000X) that has the long 30ft alternator harness. This way the regualtor can be installed nicely at some appropriate location well off the motor. THere is no reason to have it hanging on the motor or adjacent where subject to heat/vibration and in the way of maintenance. The balmar regulator on mine was on a plate mounted to the engine block. Hot, vibrating, subject to fluids, in the way of wrenching.
Yes it shoudl be installed with alternator shunt especially if you are putting it into a Victron ecosystem which works very nicely.
There literally is no downside. It is such an upgrade especially if you are doing all your energy management with a Cerbo GX. Adding the Zeus just brings it into the fold as far as intelligent charge management/visibility.
I would keep your Balmar alternator and upgrade to the Zeus (this is exactly what I did when I did my Victron system.)