I am using MacOS catalina for a while and always get this REALLY annoying message when I use
sudo zsh

zsh compinit: insecure directories and files, run compaudit for list.
Ignore insecure directories and files and continue [y] or abort compinit [n]?

Is there even a way to avoid this?
Or maybe I should quit using zsh.

In my opinion a shell should be user independent.