We are moving heavily into the Teams Microsoft 365 space and use the search bar across all the 365 platforms all the time. It would be awesome if there was a Zendesk connector.

I would expect this to work the same way the ServiceNow connector for Microsoft Search | Microsoft Docs seems to work.

With the ServiceNow connector, your organization can index knowledge-base articles that are visible to all users or restricted with user criteria permissions within your organization. After you configure the connector and index content from ServiceNow, end users can search for those articles from any Microsoft Search client.

Connector gallery | Microsoft Docs