What you're expecting is that in the event of a power failure, your ZEN04 will report a voltage of zero. As @sburke781 explained, this will not work, because the ZEN04 will be unpowered during a power failure.
However, there are several alternative methods to let the hub know that there has been power failure, all of which make use of devices that are battery powered.
- You can make a Power Monitor - costs about $15-25 to put it together. This thread has a number of examples.
- You can use a Hubitat-paired thermostat like z-wave models from GoControl or Honeywell. These can be powered by both the HVAC transformer and batteries. When A/C power is lost, the thermostat will report it is no longer on "mains" power, or will report it is on "battery" power. These thermostats cost about $50-100.
- You can use a Ring z-wave range extender. These are plug-in devices that have a built-in battery backup. They also report when there's a loss of mains power. These cost about $25.