When user having this issue as screenshot above, Click Repair Button. However if it does not solve the issue, please follow this guideline;

Please Delete below files first and try to uninstall again:
C:\Program Files (x86)\Zscaler\ZSAFilterDriver

However, in order to delete the Windows System 32 folder, it will required folder permission/ownership.

You may refer from this guideline-> https://www.laptopmag.com/articles/take-ownership-folder-windows-10-using-file-explorer

After done remove the file, uninstall Zscaler Client Connector and reinstall again. It will help to fix