I would think that depends entirely on team composition. If you have a Malphite, you should be following him in, and wont even need one to get it off, if the enemy team has Malphite, you're probably going to want to be counter engage, which means not being the guy Malphite goes in on to start with, so it's probably not critical then either.
I'd say Zhonya's, and accompanying magic resist and general tankiness, is necessity when your team lacks some form of engagement, or when you just have the perfect setup for ass kickery with chain aoe cc on your team through other champs that can't really engage well either.
If you're paired with Kalista of course, Zhonya's would be really nice.
Zeke's in particular gives you reason not to build one to start with though. You're already boosting 30 armor, general durability has been achieved, so unless you really need to tank the whole enemy team it's a bit superfluous. You gain huge damage from a Liandry's as a low AP support, Twin Shadows and Rylai's give you additional slows, and a Banner would give a nice resist buff to the team, whereas Zhonya's is only going to make you tougher and give you a similar boost to damage. You're already up to four items with Zeke's, and unless you take merc treads, your magic resistance is so low that you have to take at least one heavy survival item for AP or you can't engage because you'll be burst down against most comps regardless of having a Zhonya's.
I don't really like the idea of taking Zeke's on her anyway, Ardent Censor would give your adc a more reliable boost off your shield, and work better in combination with Zhonya's thanks to having a speed boost, and not duplicating the role of boosting your armor. If you throw in a Ludens Echo or Liandry's on top of that, you've accomplished boosting your harass damage up pretty high, and can either tank up for the last item to be a good engage, or do something else and be counter engage/poke. Her shield makes her a natural counter engage, since she can greatly aid in the survival of whoever is engaged on, and the range on that root is more than long enough to safely harass most teams even if you can't survive engaging.