Sorry, I might be more familiar with this if we had a customer with the problem.

You are correct, I didn't see any current documentation on Zen Cart that indicates that PayPal Commerce or PayPal Checkout with Smart Payment buttons was available at this time. PayPal Express Checkout (Which is Available on Zen Cart) is 3DS compatible. We made sure that PayPal Hosted pages were 3DS Compatible before the cut off. However, the card payments are Guest Checkout rather than Direct Credit Cards.
Is there something I'm missing here? If 3DS is needed and available, why not use it?

If it's that the customer might get strong-armed into creating a PayPal account. That can be bypassed if you have a business account.