Trying to block zip files with O365 seems a little painful, as the default GUI does not really give you the option (anymore?) If you Google, you might find screenshots with options to select the attachment but when I checked our GUI, that was all that I saw:

Clearly, there is no option to look for attachments, other than what the attachments CONTAIN.

So, trying PowerShell, something interesting happened.

New-TransportRule -Name 'Rule - Block password protected zip' -Priority '0' -Enabled $true  -AttachmentExtensionMatchesWords 'zip' -RejectMessageReasonText 'Sorry your mail was blocked because it contained a zip file.'  -StopRuleProcessing$true -SetAuditSeverity Low -SenderAddressLocation HeaderorEnvelope

Executing this PowerShell command, it created a new rule, that now had more/different options than the rule you could create from the GUI!

Look at this:

And now you can block file extensions and stuff to your heart’s content.

Oddities ¯_(ツ)_/¯