When PNG beats PDF
PNG is an image, and images fit where a PDF does not. The three cases that come up most are attaching a label to a support ticket, uploading to a system that only takes images, and checking on screen before printing a whole batch.
For printing, PDF is still better: it carries the label's physical size, so the print comes out at the right measurements without anyone adjusting anything. An image carries no such information, and whoever prints a PNG has to check the scaling by hand.
One label is a PNG, several are a ZIP
With one label in the file, you download the PNG directly. With more than one, you get a ZIP with all of them inside, numbered in the order of the file.
Handing over a ZIP containing a single file would force you to unpack it to see one image, and whoever converts one label almost always wants to look at it or attach it right away. The download button says what will come out before you click.
Density changes the size of the image
The same label at 203 dpi and at 600 dpi produces images of quite different sizes, because density decides how many dots fit in each millimetre. Picking more than your printer uses does not make the label better: it only makes the file bigger.
If you do not know yours, 203 dpi is the most common in carrier operations, and it is the default here.
What never leaves
What is in your labels is not stored. The file is processed and discarded, and neither the ZPL, nor the images, nor the file name ends up on disk, in a database or in a log.
A shipping label carries a third party's name, address and national ID, and that is the reason for the rule.