I would expect to see the custom permissions (first picture) when the file you're protecting is natively supported by Rights Management - and .pdf is one these file types.
I would expect to see the option for Generic Protection (and your internal templates) when the file you're protecting isn't natively supported by Rights Management - which is the case with a .zip file.
Try Share Protected with a file type that is natively supported by Rights Management. You can identify these file types by using the first column in the two tables from
Supported file types and file name extensions.