Hi ,
I have also tested in my lab and I found the same behavior. When we run Get-DnsServerZoneScope -ZoneName "XXX.XX", filename will be empty.
I did not find any official document talking about this behavior.
I searched a lot and found some newer articles'( third-party DNS policy Guide) filename is empty as well. So I would suspect this behavior in the latest version of server 2016 is by design. I would suggest you just ignore it since it will not affect anything.
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Best Regards,
Candy