The module goes ahead and changes attributes in a zone when the --check option is set.

The plugins/modules/nios_zone.py has :

"notes:
- This module supports C(check_mode).
"

But there is no logic around the section where NIOS_ZONE is handled in plugins/module_utils/api.py to test that --check is defined - It just runs the object update:

"
if (ib_obj_type in (NIOS_ZONE)):
# popping 'zone_format' key as update of 'zone_format' is not supported with respect to zone_auth
proposed_object = self.on_update(proposed_object, ib_spec)
del proposed_object['zone_format']
self.update_object(ref, proposed_object)
result['changed'] = True
"

This can be fixed with:

"
if (ib_obj_type in (NIOS_ZONE)):
# popping 'zone_format' key as update of 'zone_format' is not supported with respect to zone_auth
proposed_object = self.on_update(proposed_object, ib_spec)
del proposed_object['zone_format']
if not self.module.check_mode:
res = self.update_object(ref, proposed_object)
result['changed'] = True
"

If I figure out how to create the pull req and submit a patch I will, and update here