The reason for this prohibition is due to concerns about performance. Even if you could get SIP / RTP / etc. working by configuring direct IP for all UDP/TCP ports, ZPA has neither the appropriate transport protocol (UDP rather than TCP underlying the TLS tunnel), nor any way to do prioritization of latency/jitter sensitive traffic. For this reason, UC traffic is actively unsupported and SHOULD NOT be sent over ZPA.
Zscaler Recommendation is to bypassed Unified Communications Traffice. For more information, please refer https://help.zscaler.com/zpa/bypassing-unified-communications-traffic