The Z groove is just a description of the shape of a lubrication channel in the gib. The web of the Z is angled diagonally across the face of the gib so that lubrication will spread across the entire face of the sliding surface. The shorter parts of the Z-shaped groove are really only necessary to connect with the holes where the lubrication enters. They may also add extra lubrication at each end of the gib where lubrication is lost and minute grit is most liable to enter.
First you get good, then you get fast. Then grouchiness sets in.
(Note: The opinions expressed in this post are my own and are not necessarily those of CNCzone and its management)