They have two forms, so I guess you can say the Sword is part of Zacian, but with the Steel typing.
Zamazenta’s Shield is removed if it has its other form, not steel. (If it absorbs steel it turns into steel i’m pretty sure).
They are not the same Pokémon but perhaps family (as you could see in the trailer how that’s a brother-fight) and you can see in the not steel version that they clearly look different.
Pure Guesses tho lol. Perhaps those not steel versions actually have the same Pokémon but have equiped some sort of decoration over time.