In theory, it would make sense to stick with one protocol, but in practice many community members are using zwave switches with zigbee bulbs and it all works out OK. You just need enough devices of both types.
Don’t mix a networked dimmer switch to control the current load to networked dimmer bulbs, but just an on/off switch should be OK and a lot of people do use them to increase the family acceptance factor. (It’s also fine to use a networked dimmer switch, often battery-operated, as a kind of " remote" to control a networked dimmer bulb as long as the instructions are just sent by network command, not current change.) Choice is good. 
Z wave is more popular for fixed point devices like residential light switches in part because it doesn’t run into interference from Wi-Fi. Zigbee can. Since the usual first step in reducing interference is to slightly reposition things, that’s typically a lot easier with a battery operated motion sensor than a light switch.
http://thingsthataresmart.wiki/index.php?title=Z-wave_versus_Zigbee