Claim #1 isn't so bad. "Your computer is protected against hackers" I should hope that the firewall provides some degree of protection. ...of course, just like a condom, the firewall doesn't provide 100% effectiveness in that protection, but it does provide protection.
The second and third claims with their absolute statements are misleading. "Your Web browsing is safe from phishing" and "Your identity and data are safe from theft and loss".
Let's be realistic folks. Nothing is going to make you absolutely safe from these things. No phishing filter, no matter how good it is is going to stop you from going to every phishing site ever conceived. Nothing can provide absolute protection from identity and/or data theft. No matter how many ways they try to protct you, somone will think of a different way to get the info from you.
Since ZA does not provide a backup solution, I can't see how it even attempts to protect you from data loss.
Likewise, CheckPoint (the makers of ZA) isn't in the counselling business, they can't do much about your loss of identity. If you don't know who you are anymore I doubt there is much they can do to help. :)
All that said, I still think ZA is one of the best software firewalls for Windows out there. It is light-years beyond the built-in "firewall"....and it's free!