@Christian_Van_Nucks welcome to Zwift forums.
TLDR: Shimano is correct in this case - use the 1.8mm spacer for their CS-HG700-11 or CS-HG800-11 cassettes with 11-34 tooth spec.
Shimano designed these two 11 speed 11-34 cassettes to squeeze onto older Hyperglide10 freehub bodies that have been around since ~1991. The two largest cogs are concave, and their cupped design positions them slightly over the drive-side hub flange. This allows use on the millions of bikes out in the wild that came with HG10-compatible wheels.
Shimano introduced HG11 freehub bodies about ~2013 that are 1.8mm longer. The Zwift hub comes with an HG11-compatible driver and that 1.8 mm spacer is needed to take up the extra space.
Other 11 speed Shimano cassette models are 1.8mm wider and use a different model naming convention. CS-R7000 and CS-R8000 come in the narrower gear ranges (11-28, 11-30, 11-32 etc). The two largest cogs on these models aren’t big enough to do the cup-over-drive-flange trick, so they can fit only on the longer HG11 freehub drivers.
Hope that wasn’t too much bike nerdism, but that’s the complete answer.