Here’s my version of materials management in ZBrush including a breakdown on what the Embed-Mat plugin does. Of course you don’t HAVE to use the plugin but it makes materials management a bit easier. I guess for that matter you don’t NEED to use any plugins at all… you just have to remember all the steps the plugin performs and run through them every time. For material embedding, that’s not a problem. But with Projection Master, for example, if you had to do what it does, by hand, you wouldn’t have time for much else. 
I agree with you that it’s best when learning new software to strive to understand fundamentals and how the commands work together. Maximizing use of any new package is easier if you’re able to get into the head of the software’s designer (critical with Pixolator and ZBrush).
I think Aurick’s excellent explanation doesn’t extend to your original question concerning embedding materials in a texture map or the wild-card nature of material index 00. It’s a complex topic and I hope the following helps clarify several of the issues.
Basic Rules for Embedding Materials in ZBrush
IMPORTANT CONCEPT ONE
• ZBrush can display up to seventy-six different materials at the same time.
• Each material is stored in its own slot according to an index number (from 00 to 75).
IMPORTANT CONCEPT TWO
• When ZBrush starts up all of these indexed slots are assigned seventy-six default materials and ZBrush automatically selects the material in slot one called Fast Shader as the active material.
• For example, the first six material slots (00 - 05) are assigned successively to Flat Color, Fast Shader, Basic Material, Basic material 2, Toy Plastic and Reflected Map.
IMPORTANT CONCEPT THREE
• Default materials can be replaced by loading a new material description file (.zmt) into the currently selected material index slot.
• Custom materials, (and models with texture maps) should be explicitly saved at the end of a ZBrush work session and the custom materials need to be reloaded to the appropriate index slots each new session.
• Slot 00 contains the Flat Color material… the ONLY material description that CANNOT be changed or replaced.
Basic Rules for Assigning Materials to Objects Without Texture Map
• When a new object is created in ZBrush, it does not have a texture map assigned to it. Each polygon (and its associated vertex) is embedded with color (RGB values) and material (index number 00).
IMPORTANT CONCEPT FOUR
• By default the embedded material in any new object is index 00, Flat Color.
• But ZBrush does something tricky here. Material index 00 acts like a wildcard. Any vertex with index number 00 will assume the look of the currently selected material. If you’ve selected Toy Plastic, the model will assume a glossy surface AS IF it has index 04 (Toy Plastic) assigned to it.
• If you select material index 05 (Reflected Map) the object assumes a chromed appearance. But the embedded material is still index 00.
• To embed any other material you must set the Draw>M button on, then paint the material onto the object. This permanently embeds the new material index number in the vertices (and polygons) you paint over. You won’t notice any difference when you do this painting since the index 00 vertices will also be displaying the selected material. Now, to see what polygons have been painted/embedded with the new material, you just need to select another material. The painted/embedded polygons will remain and the index 00 polygons will assume the newly selected material.
IMPORTANT CONCEPT FIVE
• You can gain control over the index 00 ambiguity by imbedding the currently selected material (any index except 00), setting the Draw>M button on, and pressing the Color>FillObject Button. This will load ALL of the vertices (and their associated polygons) of your current model with the selected material.
• Caution: All polygons are changed to the new material, overwriting whatever other materials might have been assigned.
• If you now select a different material in some other index slot, the object appearance continues to display the embedded material.
• Over-painting with the new material is now much easier. Only those polygons you paint over will change.
How materials are stored (embedded) in texture maps.
IMPORTANT CONCEPT SIX
• Each pixel in a texture map is represented by RGB values. Each pixel also has an alpha channel value which defaults to zero by default. In ZBrush, the alpha channel is used to assign a material (by storing the slot number).
IMPORTANT CONCEPT SEVEN
• When a ZBrush model has a texture map assigned to it the pixel colors and materials of the texture map will SUPERCEDE whatever is embedded in the vertices/polygons of the model. The vertex information is still there and the model will assume its original appearance as soon as the texture map is removed.
• By default the alpha channel for each pixel is the index zero (Flat Color) material which works just like it did with the vertices/polygons in the model.
• So, the entire new map assumes the appearance of whatever material is currently selected.
• Pressing the Draw>M button, the selected material can be painted onto the texture map, which embeds the index number into the alpha value for each pixel painted over.
• Again, to see which pixels were updated with the material you painted, just select another material with a different index number. Those pixels still embedded with index 00 will display the currently selected material while those you painted on will display the material you just painted.
IMPORTANT CONCEPT EIGHT
• How can we embed the entire texture map with the same material? THERE IS NO EQUIVALENT FILL TEXTURE MAP BUTTON that does what the Fill Object Button does for the model. Instead you must do the following steps.
• First, choose the material you want to embed (any material except index 00.) Next, set the Draw>M button on and the Draw>Zadd button off. Choose Alpha Brush00 (the all white square) and the Stroke>DragRect stroke type.
• Finally, click and drag from the center of the model so the drag-rectangle completely covers your model. The current material will be embedded in all the pixels of the texture map, front facing and back. You’re done.
IMPORTANT CONCEPT NINE
• To paint different materials on your texture at polygon by polygon resolution, stay in Edit Mode, select Stroke>Freehand, select Draw>M only, choose a different material and paint away.
• To paint with materials, at pixel by pixel resolution, you must first enter Projection Master. Paint away using an Alpha and Brush type of your choice. Check the Material box too, when exiting Projection Master.
• Warning: pressing the Texture>Clear button will also clear embedded materials (i.e. fill all pixels with index 00.)
NEW PLUGIN: EMBED-MAT
• The Embed-Mat plugin button is a new button for the Texture Map menu. With a single click you embed the entire texture map with the currently selected material. (All the Embed-Mat Button does is those steps under IMPORTANT CONCEPT EIGHT – nothing fancy.)
• Warning: With the Embed-Mat Button, masking works when embedding a material directly to the entire model but masking does not work when embedding to the entire texture map.
IN SUMMARY
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A new object without a texture map is by default embedded with material index number 00. If a material with a different index number is selected, ZBrush will display THAT material wherever index number 00 is embedded. Think of material index 00 as a wild card or the Joker that dynamically changes identity or appearance.
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To permanently change parts (or all) of the object to a new material requires embedding another material (between index 01 and 75), which can be painted on, or applied globally by selecting the Draw>M button then pressing the Color>FillObject Button.
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A new texture map is by default embedded with material index number 00 for all pixels. A texture map’s embedded materials will always override materials which have been embedded directly in any object to which the texture map is applied.
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To permanently change part or all of the texture map’s materials requires embedding other materials (between index 01 and 75), which can be painted on, directly at polygon resolution in edit mode, or at pixel resolution while in Projection Master.
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The Embed-Mat plugin button will automate global embedding of materials, for texture maps and non-texture mapped models.