Is the php zip function on pretty much all of the php engines/servers?
The zip functions use zlib, which is standard and well maintained. If your PHP has the zip functions available, then yes, they will be basically the same as any other.
However, I don’t know how common it is for hosts to provide this. Ask your (next) host, or get a VPS instead and just install it yourself.
How “standard” or available zip is also doesn’t guarantee that your users will have it installed on their own computer, though most computers can open zip archives. Even so, getting individual files might be a “friendlier” user experience, depending on the technical knowledge/experience of your users.
I’m not sure why it would be “improper.” If you’re not zipping the files, this is the only way to get more than one downloaded on a single user action.