Again, as often, it's not the value actually in the variable, but how the variable is. The
echo in this case. Zsh's
echo takes the single dash as an end of options indicator, so it's removed. Online manual:
Note that for standards compliance a double dash does not terminate option processing; instead, it is printed directly. However, a single dash does terminate option processing, so the first dash, possibly following options, is not printed, but everything following it is printed as an argument. The single dash behaviour is different from other shells. For a more portable way of printing text, see printf, and for a more controllable way of printing text within zsh, see print.
So we have:
zsh% echo -
zsh% echo - -n
zsh% printf "%s\n" "$var"