@lewm The shim isn't for zenith. You are correct, you have to change the alignment of the cart in the headshell. The "Wally Zenith" provides the correct reference point adjusted for the specific error in your cart. But as I said you have to know precisely what the error is.
There are other Wally tools for azimuth & antiskating (which also measures tonearm friction).
Both companies have video tutorials. Check them out.
I think the main takeaway is (and perhaps @billstevenson agrees?), that conventional tools and methods will only get you in the ballpark (maybe with decent seats).
Other than truly dialed in sound, the secondary benefit for me is piece of mind. I no longer second guess the setup or feel the need to tweak it. I just enjoy it.