This is just meant as a heads up to the other people using Zscaler and Safari.
I was seeing problems with websites not loading, content on websites not loading, and general layout issues on websites.
All worked without issues as soon as Zscaler was out of the equation.
Turns out it was caused by the "Prevent cross-site tracking setting":
As soon as that was unchecked, everything started to act normal.
The setting caused Zscaler authentication to get stuck on redirection to the Zscaler gateway.
Hope I can save a fellow admin the headache I had because of this.
Good weekend to all.