The .zxx files are in the native Casio wk-3000/3100/3500 format and they can be downloaded directly to Wk series keyboards without the need for any type of conversion. These .zxx files can be converted to .ckf by using Casio's DMS.
The .ckf files are in Casio's proprietary format and they can be converted to various Casio native keyboard formats by using special software like the Casio DMS. You need to process .ckf files thru Casio's DMS to be able to use them in your WK series keyboard.