Interoperability comes from standardization, which Zigbee sorely lacked. But actors like Tuya or Leroy Merlin built their own standard over Zigbee, which means anything that has "works with Tuya" will work with any Tuya coordinator of any brand (same for Leroy Merlin ecosystem). And even those who don't usually mostly works.
With that you'd get ZWave reliability, most, if not all, of its security features, with Zigbee lower price. And they still works great with third party coordinator.
But it is true that Z-Wave uses lower frequency than Zigbee (868MHz vs 2.3GHz). It means lower frequency interferences, and better reliability over high distances.
I had some difficulties too with Zigbee pairing, that's one of the shortcomings that Matter fixes with their QR Code pairing. On my case it was just about understanding that you have to put both the device and the coordinator in pairing mode for the "interview" to happen. And that is has to be close to any device of the target network that isn't battery powered (they can do the interview on the coordinator behalf).
I stopped using WiFi devices for the same reason, but found out about Tasmota, an open-source firmware for ESP devices. It requires a local coordinator, but never send anything to Google and the likes. It can be hard to flash, but some vendor, like Nous, offers pre-flashed devices. Some of them are also Matter compatible (if it has recent hardware as old ESP device has too little rom to handle the Matter code).