A few years ago, Zotero actually made me content with the fact that I would need an external PDF reader. Then they unexpectedly rolled out their own, but by this point I am so happy with Okular that I have barely even tried Zotero's built-in PDF reader. Mostly because of Okular's great annotation, which Zotero then automatically synchronizes. A far cry from Mendeley's terrible walled garden.
This is my major reason as well. I run a Mac, Windows machine, and have iPhone / iPad devices spread around. I am constantly working with PDFs and highlighting them and having those highlights sync cross platform has been amazing.
I find the built-in one pretty great: has light and dark modes, good annotations, performs well. The only thing missing is this fullscreen behavior, which should exist by default IMO.