Good question! However I think it's wise to concentrate on a particular word/phrase before actually answering your query.

In an immutable setup on Fedora (trying to main Bazzite) is the correct way to use zsh and oh my zsh as my main shell

Currently, it's not always clear if there even is a correct way of installing some of these (more) edge cases. Therefore, I wouldn't be surprised if you'd see 'seasoned' Fedora Atomic users that have all tackled these in very different ways while being satisfied with (not only) their own solutions (but also approve the respective solutions of their peers).

As for your query, I would say that starting to use Fedora Atomic and pointing out correctly some of the more common ways to install software while being aware of the ambiguity that exists with the chosen installation method for this specific piece of software is already very commendable. So I would like to congratulate you on that!

But, you shouldn't be afraid to stick to what's easy (aka don't allow good to be the enemy of perfect). If the extra time required for changing your base system doesn't bother you at all (which happens automatically in the background anyway), then layering it (thus installing with rpm-ostree) is probably the easiest method while protecting you from a lot of possible edge cases you might have to deal with otherwise. Traditionally, zsh (and other shells) were layered (thus installed with rpm-ostree) and uBlue itself included (perhaps still does) just commands to change root shell to zsh, fish etc. This might have changed in the last few weeks, but I think it should still be a safe bet. FWIW, I have never had any troubles pertaining to my zsh installation and any of its plugins (might as well link the managed zsh-config I rely on).