I just wanted to add that as far as I know this is standard behavior. It is consistent in bash, dash (the closest thing to a POSIX shell I've seen), zsh, and even the heavily nonstandard csh.
It seems to be quite extended too, to the point that some scripts rely on that behavior. For example, in Tcl (where the \ _does_ continue the comment) [this kind of comment is often used to trick the shell and run tclsh](https://wiki.tcl-lang.org/page/Tcl+Style+Guide#e36409f3b7db7eef854e2fe30892a...).
So the good news is that this doesn't need to be handled specially for zsh only, but for shell scripts in general, so once Scintilla fixes the bug Geany won't need to do anything weird.