That design is probably not supported.
You can easily have split tunnel traffic by just not putting the MX250 as default route.
But all the subnets the MX250 injects into the SD-WAN will be made available through the tunnel. That means all private traffic flowing between that Z3 local network and the networks and routes the MX250 knows and injects as VPN available.
All other traffic will break out locally to the internet at the Z3.
To further block traffic from the Z3 to the MX250 you can add the VPN acl to only allow radius traffic from the remote Z3 subnets towards the local MX250 networks.