But does it actually change the File Associations?
If not, then ZCM would not either since it is doing the same thing.

You may want to enable GPO Logging and looking that the GPO Logs

[HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\Windows NT\CurrentVersion\Diagnostics]
"GPSvcDebugLevel"=dword:00030002

The resulting log file will be
%WINDIR%\debug\usermode\gpsvc.log

(Reboot Required to For Logging to turn on)