The Zscaler documentation gave me the impression that IF you don’t specify an UNINSTALLPASSWORD with your MSI Transform file, you can’t uninstall the client from the command.

I was wrong!
(and the Zscaler documentation is unclear IMHO)

The command to uninstall the Zscaler client is:
msiexec /x {ProductCode goes here} UNINSTALLPASSWORD="<LogOut Password Goes Here>"

Zscaler Client Connector Version ProductCode from the MSI {FC9AAB3F-9875-4A0C-BBBF-3CE6740FCD4E} {E7E23E7F-AB82-4E7D-A074-84BA356979EB} {CA128AD3-FFFF-4B24-ACF2-E7D024C50D0E} {A2D1CE45-DEC6-45B9-B6F4-92C6681F7A0D} {A15BB114-28F9-4E6E-AA6D-7EF3D53AFE16} {128147F4-9E5A-4AFD-8629-D57086318B2E} {8001155C-056B-4059-873A-2E2DA902F7F7} {A7C26C3B-5F26-4D0E-AA55-781B25456E74} {5A4DF964-5B24-472E-A7D2-FF51F8F142B0}

So for Zscaler client v3.1.0.129
msiexec /x {A2D1CE45-DEC6-45B9-B6F4-92C6681F7A0D} UNINSTALLPASSWORD="<You need to enter your own LogOut Password here>"