Zwave / zigbee devices, like all smart switches, will require constant current in order to work, hence if they operate without a neutral then they have to pass a small amount of current through the light at all times. This is the standby current to operate.
For some bulbs this standby current makes them glow all the time and never turn off, even when the switch says it should be off. Normally better quality bulbs will let this happen without turning on, otherwise you need a choke style device, and sometimes both. Obviously all devices drawing a standby current will consume a bit more power than if they had a neutral, since that current had to pass through the bulb aswell, and hence are less efficient.