I cannot suggest anything about your particular situation with the client. Just want to note that zip files alone are harmless. They can have harmful content. But it's ok to open an archive and unpack it unless you execute files in it or open documents with macros (although word will alarm you).
But for me a password-protected zip file sent by an unknown person is a showstopper
Thank you for reaching out to us. I'll share your concern with our team. One of our agents will check this for you and reach out to you with more information about the security of this file.