Welcome to the fun and mystery of analog. These kinds of things can be super simple, or infuriatingly difficult to track down. The underlying problem is phono gain is so high, 40dB to 60dB, that tiny amounts of noise you would never notice with a line level source like CD are easy to hear with phono.
Because of this even slight changes in wire or components, that you would think are nothing, can make a big difference. Sometimes even just cleaning something real good can eliminate what you thought was a wire or ground problem. There really is no simple way of saying, Oh you have this so it must be that. All there is instead is a big long list of things it might be. All anyone can do is work down the list.
From what you heard the ProJect wire is no problem while the Zu has hum. I would take the wire with hum, the Zu, and move it around with the volume up listening for any changes. Sometimes simply routing a wire away from fields will be enough to eliminate hum. Sometimes moving the wire may reveal a connection problem. This could be either the RCA plug connection, or even the connections where the wire is soldered inside the plug itself. You get the idea. It probably is something as simple as shielding, but you just never know until you try.
Anyway, main thing you learned, this is not a lipstick on a pig situation. The fact you have a cable that is noise free is proof of that. All you need now is to either figure out how to eliminate the hum with the Zu, or find another better wire that doesn't have that problem.
