also, note that the second link posted is a special type of header, not a standard female as in the video you posted.
... could be useful in some cases though it would be a fairly unusual choice for a zero, though again depends on the project requirements.
IMHO, if you just want to experiment with the GPIO, then a pin/male header as initially suggested by @major_tomm is the logical choice. If you are worried about the pins getting bent then a (pibow) case should ensure minimal risk in transport.