Zemo has no reason to do anything to Bucky's misfit animals, really. A life on a farm isn't... quite one that's quite appealed to him the same way it seems to Bucky, but it isn't the worst one he could have made for himself.

"That is a strange way to say you have a soft spot for animals, James," he taunts lightly, giving the dog a pat as she follows him. He's not quite sure what's enthralled her, but-- people tend to be a bit more trusting of those who are good with animals. He may as well use that to his advantage, the fact that she's not eagerly growling or trying to attack him.