I went to install my Zooz Zen21 only to realize it came with a neutral wire, but no ground wire. I don't have any wire I can use to connect it to the other grounds in my box. If the device the switch will be powering is grounded, is it necessary for the switch to be grounded as well?
Yes. The purpose of the ground at the switch is to protect the user if there's a short in the switch.
Buy a foot of 14/2 Romex at your nearest lowes/hd - won't cost more than a couple bucks. You can use the ground conductor in there to make a pigtail that connects to the other grounds in the box. Matter of fact, you'll have enough left over to make several pigtails, but HD sells Romex as a 1 ft minimum.
Tagging @JohnRob, who can answer this better than me.
Edit: Been a while since I bought Romex. HD's minimum order is now 6 ft, and the price is $0.80/ft. So about $5 .....
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Okay, this is what I was thinking, but I wasn't 100% sure. My FIL might have some; I'll bother him first and run to Lowes or somewhere if he doesn't have any.
@agnes.zooz it might be a good idea for Zooz to include a small green wire for connecting to ground with y'alls switches.
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Note, to followup on @aaiyar's post , if you're replacing a switch that was in the box previously, and it was ungrounded, don't let that fool you. That's a dangerous situation, and you should check your other boxes for grounds to switches.
S.
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No manufacturer (that I can think of) includes a ground wire with their devices - just neutral wire. 
I think the expectation is that if you are replacing an existing switch it should already have a ground going to it ..
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Tell that to Lutron 
They charge an extra $20 just for that ground conductor.
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I think the old GE's used to come with 3 pigtails as well. Hardwired as I recall.
S.
Don't you have a ground (bare copper) wire in the gang box that your old switch is connected to?
The neutral wire included in the box is for making a pigtail (if necessary) with the other neutral wires in the box.
You should be using the same ground wire that exists. Now if that ground wire is too short? To reach and connect into the switch that I can understand and you'll need to extend it with a pigtail. In this case if you don't have any Romex or 14 gauge wire you can use then off the store to get some.
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That's true. Forgot about the models that came with hardwired pigtails! Foiled again.
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To be fair, I only remembered because @aaiyar said the Lutron did...and I was reminded...the new ones don't come with anything now. The Zooz Zen26's I've had in boxes for months did come with a little pigtail for the common, but that's it.
S.
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Every box in my house looks like this. They just connected all the grounds together and none of the switches are connected.
Wow. That's crazy. I'm curious as to how that snow got in the box too...lol
But you really need to run a copper pigtail from that bundle of ground wires to each switch.
Safety First!
S.
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In this situation, do not separate those grounds. Just add another pigtail to that bundle.
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Exactly how the wiring in my house is as well. One of those is ground. The others become ground by being in the same bundle.
EDIT- Just pigtail it.
Also - Is that gang box plastic or metal? If it's metal you may have signal issues but may not.
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That's a really old way of doing it at the box and not at back at the panel.... maybe not old but lazy 
Agreed. But that's the situation in a few boxes in my house .....
If that's even a possible case in this situation... I changed my response to "just pigtail it" no use fussing trying to determine the correct ground (even though they should all be ground!!!)
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Wow. I have a 1978 house, and even it has all the grounds with pig-tails. We had a '72 condo that had a few 2 wire boxes (no ground), but I was force to pull a ground for those when we sold the house.
There are a lot of variations around though. I lived in an old house in Washington State when I was a kid, and I shudder to think how it was wired...lol
S.
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My house was built in 1991. My FIL says it's very common for switches to not be connected to the ground. Also, it's a plastic box, not metal. It's just grey colored.
