Yeah, I'm not really sure what causes it. Paizo pdfs are pretty much the only pdfs I ever access inside zipped files, so I don't really have much to compare it to. And for me, sometimes the file will open, but the next time I get that message. The possibilities I've been able to consider include are either (1) the zipped file is in a protected area or (2) the file name or length create some problem when creating temporary data.
With (1), I've considered things related to Microsoft OneDrive, but haven't figured anything out.
Basically, unzipping them works and it hasn't seemed worth it for me to spend the time to figure out the root cause.
But glad that helped you. Enjoy your PDFs!