A Shipping Zone is a grouping of one or more countries that you wish to provide shipping rates for.
You are free to select specific countries for a Shipping Zone and you are also able to create ‘catchalls’ made up of any countries not already assigned to a Shipping Zone. This flexible approach means that most store owners can very quickly specify the broad areas that they ship to.
Acme Inc. ships globally from Australia and has two sets of shipping rates - one for domestic customers and one for international customers. Acme create two Shipping Zones - one that has a single country (Australia) and another that is assigned to ‘Rest of World’ (every other country aside from Australia).
Note that creating a Shipping Zone in Postcode Shipping doesn't automatically create that Shipping Zone in Shopify. You will need to set up the same Shipping Zones in Shopify as well and enable Postcode Shipping as the rate provider.