These are mercifully small, compared to rsync or cvs for instance.
The server shows the zsync version in use in the control file. But the client has no interaction with the zsyncmake program, so showing its version does no real harm. Vulnerabilities in zsyncmake will only be an issue if you try to offer a .zsync for a maliciously constructed archive, and it should be easy to avoid doing anything dangerous with this data. zlib is more likely to be the weak link here.
The client transmits no checksums to the server. But it does implicitly reveal the checksums of blocks of data that it possesses by its subsequent pattern of requests to the server. Splitting the download traffic between multiple servers operated by different organisations will help here. But the blocks that you request from the server will always reveal those that you need; for instance, downloading a Debian package file, the blocks you download could reveal how long it was since you last updated your system. We could retrieve extra blocks to try and add noise to this information. I do not see a good solution to this. We are at least giving the server far less information than rsync does. And it is all academic if, as with a Debian Packages file, you have to download the new packages too.
The client must not modify local files unexpectedly. A policy of only allowing writes to files with the same name as the .zsync file will satisfy the principle of least surprise here. And filenames are not allowed to contain slashes.
We must not harm web servers. The client aborts if it gets a 200 OK when it wanted a ranged response. So we cannot be fooled into making large numbers of requests for large files by a malicious .zsync file. zsync makes a lot of requests, so we really do not want it to connect to any URL with dynamic content. Most servers will reject Range: requests for dynamic content anyway I suppose? The client does not understand chunked encoding, which is just as well, so users should not find it too easy to point zsync to something dynamic and thrash a server to death regenerating the page every time. We could limit zsync to connect to the same server hosting the .zsync file if we got a lot of administrators complaining - but I do not want this restriction at this stage of development.