Hi JPedroGuerra,
Welcome to Microsoft Community.
Unfortunately, there is currently no way to disable the Ctrl+Z shortcut individually.
However, you can use the Powertoys tool to replace the original function of Ctrl+Z with some other key combination that you don't normally use so that you can press Ctrl+Z without undoing the undo.
Here's how to do it:
Open the Microsoft Store, search for Powertoys, and download and install the app.
And then I'll open it up and click on the Keyboard Manager on the left.
Click on Remap a shortcut under Shortcuts to go to the next page.
You can set it like this, changing the Ctrl+Z mapping to Ctrl+/.
Since Ctrl+/ does not have a corresponding shortcut in File Explorer, pressing Ctrl+Z will have no effect.
*This application is developed by Microsoft and is currently being tested. You can use it at ease. If you have any questions, please do not hesitate to tell me at any time.
Best Regards,
Manson - MSFT | Microsoft Community Support Specialist