I'd 90% agree with this, except that NATS does have an embedded mode.[0] That plus the clustering, gateway, and leaf-node features gets it very close to what ZeroMQ is doing, though at a much higher complexity level that's maybe unnecessary depending on what you're doing. Embedding is exclusive to Go programs, so that's very limited compared to ZeroMQ.
Even in embedded mode NATS is doing way more than ZeroMQ is, it's a full-blown message queue system while ZeroMQ at best gives you the tools to build a message queue.
[0]: https://www.youtube.com/watch?v=cdTrl8UfcBo