The zone has no effect on whether you can use an NSG or not.
If you choose the vMX wizard to create the vnet and subnet for you that resource is pooled together with the rest of the managed applications for the vMX service. This means that you have no access to do any for of changes to it. As @ccietbd states create your vnet/subnet structure before deploying the vMX. Now you can apply NSG's and even UDRs for traffic steering.
If you choose a zone during the wizard what actually occurs is that you get the standard public IP SKU instead of basic public IP SKU.
The basic SKU allows all inbound traffic by default. Standard SKU is the opposite. Therefore, if you select a zone in the vMX you must be able to add an NSG to your vMX subnet to allow 443 inbound to the vMX for anyconnect.
And this is smart to do now. Basic public ip SKU is going away 30. September 2025. If you have not upgraded by then you are in for a world of fun 🙂
MLL