Linux

You're definitely valid for being concerned about privacy, but I think much more of privacy is how you configure your system and less how it ships, especially when it's all Linux under the hood anyways. Additionally, privacy features aren't much good when they're bundled, set to defaults, and never fully configured - it's both a great learning opportunity and provides even better security to set up things like browser extensions, a firewall, tor, etc. yourself so you can know their ins and outs than simply having them installed by default and never touching them.

Of course the privacy difference between Windows and Linux is so night and day that that leap on its own might be everything you're looking for and then some, but Linux is always what you make it, so you're not giving up much when picking one or the other! The only big things you're locking into is a community and a package manager/repository, and Mint is definitely top notch in those regards, so it'd be hard to do better.

Privacy and best practices are nearly universal across most user-obsessive distributions like Mint or Zorin and by extension most if not all distributions. Don't let anyone tell you that one distribution is more "private" than another.

Mint is simply just better than Zorin in everything that Zorin tries to do, perhaps if this was a year ago things would be different, but Zorin is just not as well maintained as Mint is.

If you like the look of Zorin, that's okay, most people do. But all desktop environments can be customized to your liking.