This topic is sticking around for many years. I'm personally surprised how high level of ignorance is presented by Zendesk developer.
Sending emails over authorized SMTP is only CORRECT and SAFE option for most companies that are concerned about data safety. SPF method works only to some level and then becomes a liability.
Can't understand what kind of issue Zendesk have with SMTP approach but this doesn't build trust to the whole system. Should you care more about data safety and end-user comfort??
You can be surprised but adding SPF records in many cases is far more complicated that setting up email account and password for it ;-)
Hope you can reconsider ability to sending messages over SMTP. It's biggest disadvantage I can find at the moment if I compare Zendesk to competitors. Rest pass this test with flying colors.