That would be the first time I see anybody complaining about that (we more often see people complaining about it not doing word splitting upon parameter expansion).
Most people expect
echo $file
to output the content of the $file variable and are annoyed when shells like bash don't (a behaviour inherited from the Bourne shell), and that's causing a lot of bugs and security vulnerabilities and that's why you need to quote all the variables in those shells.
See for instance: Security implications of forgetting to quote a variable in bash/POSIX shells
I see that you're expecting that too as you're writing echo $0 and not echo "$0".
zsh has fixed that. It does neither globbing nor word splitting by default upon parameter expansion. You need to request those explicitly:
echo $=file: perform word splittingecho $~file: perform globbingecho $=~file: perform both
Or you could turn on the globsubst and shwordsplit options to get the same behaviour as in Bourne-like shells (those two options are enabled when zsh is invoked as sh for sh compatibility), but I would not recommand that unless you need zsh to interpret code written for another shell (and even in that case, it would make more sense to interpret that code in sh emulation in a local context with emulate -L sh).
Here naming your variable file in
file=*
is misleading if you intend it to be expanded upon expansion¹
filename_pattern=*
would make more sense. If you want a variable holding the name of all the non-hidden files in the current directory, you'd do:
files=(*)
That is, use an array. That would work that same as in bash or ksh93 (where that syntax comes from) or mksh, except that zsh doesn't have that other misfeature of the Bourne shell whereby the pattern is left unexpanded when there's no match.
¹Note that * is a perfectly valid name for a file on Unix-like system. I take some comfort in that rm -f -- $file removes the file whose name is stored in $file even if that file is called *.