Zeus is a full LN node. It connects to other nodes to open channels, but everything like routing is done by the node, which makes it more private, but also a bit slower. You can also use it just as a front end to an existing node, but where it shines it just running the full node on your end device.

I would consider it for shops that wasn't to sovereignly receive.

Phoenix is also self custodial node, but leaves routing to the server. That means that routing is super fast and works. It can't take your money. Theoretically it could overcharge you on fees, but in case of Phoenix even that can't happen, because the fees are fixed 0.4%.

For payment privacy you can use lnproxy. Destination in that case is just random one time key.