I can’t reproduce this. As I mentioned in Request - working custom URL schemes in edit view, this seems to me like an issue with your setup. If your browser is not able to open the zotero:// link, Obsidian won’t be able to either.
One other thing that would be good to know, do you have custom URIs in your notes to any other app, e.g. todoist, evernote, or something like this that does work?
Is the link properly formatted, i.e. [my zotero link](zotero://....)?
My expectation was that custom URLs should look and act just like normal http:// links. My normal links have different formatting and can be ctrl+clicked without linking text in brackets. My zotero links cannot.
If custom URLs are supposed to look/act the same as normal links, then this seems to be a bug. If not, is this intended difference documented somewhere? It confused me.