By setting up remote authentication for the Zendesk for WordPress plugin, your WordPress site users access your Zendesk using their WordPress user ID and password. They access your Zendesk at the usual URL (http://mycompany.zendesk.com) but logging in happens through the WordPress log in page, which is displayed when they click the login link in your Zendesk. When they are successfully authenticated by WordPress, they are seamlessly logged in.
Once you've set up remote authentication, all user management and authentication happens in WordPress, not in Zendesk. In other words, you don't add or manage users in Zendesk. All of that happens in WordPress.
If you switch to remote authentication after you've already set up users in Zendesk, they will no longer have access to those user accounts (their old Zendesk login). You can however make sure that their former Zendesk identity is associated with their WordPress user account by using the same email address in both user accounts. In other words, if a user's WordPress account uses the same email address as their Zendesk acount, the two accounts will be synced. If a different address is used, a separate user account is created.
To configure remote authentication for the Zendesk for WordPress plugin
This process is a back and forth between your WordPress site and Zendesk. Sign in to both as an administrator.