Im not aware of ZBrush having any sort of Color Management feature, so it would just be using whatever Color Profile your monitor is set to. Ive had this issue at several points over the years with internal Photoshop working space set to a different profile, which results in images looking considerably different while working in Photoshop, vs any place else I view them.
Ill assume also that you’re working in RGB and not CMYK mode. CMYK mode would also result in a flattening of color as it simulates the more limited range of print color, but I dont think this would be an issue with GoZ.
When comparing, make certain that you’re viewing a flat image, free of the influence of any scene lighting or material effects that might vary between programs.