Apparently, some air pressure in the forks is desireable, as this is used to augment the springs. But there can be gas pressure buildup beyond nominal that can compromise the seals.
And from what I read online about dirt bikes, the "neutral" attitude for the shocks (again from what I read online) is fully extended (may not apply to Zeros, see below).
So yes, I fully extend the shocks (by jacking the bike in my case), then loosen the screws to release/equalize any built-up pressure, then retighten the screws. They have O-rings, so you have to back them out almost all the way, but you only have to tighten them to snug. If you have built-up pressure, you can hear it hissing out, with maybe a few bubbles.
I suppose some air trapped in the oil or sucked in through seals occurs frequently with aggressive dirt riding, so dirt bikers have to bleed this off regularly, or it will (I guess) blow out the seals. There are even pushbutton bleeders that replace the screws for that. For street riding on a Zero, though, I wouldn't think you'd need to do it that frequently. Like I said, I've bled mine a couple times and no air escaped.
For bike transport, when you have the forks compressed for a long period, Zero's manual recommends loosening the screws and leaving them that way during the transport -- probably again to prevent blowing the seals. They don't say anything about fully extending the front forks to retighten the screws IIRC, so maybe that doesn't apply to Zeros.