Usually \s is defined to match a space, tab, newline, carriage return, or vertical tab. Zero-width space is not among those. Testing in regex101.com\s also doesn't match it, whereas \p{Cf} does. Why do you think it should match it?
I thought it should match since it's called a space :)
But you're right, it's not even defined as whitespace propertied char in Unicode, so not really an AHK bug, just a Unicode complexity, sorry about the false alarm, will use the more extensive matching rules