Because a letter is just a letter, and although we all know the nefarious meaning of that Z, it's still a generic letter. Same reason why nobody would have grounds for reporting you here for writing that (well deserved) "F Valve".

Valve has been historically quite comfortable with Nazis and white ethnonationalists on steam. There are limits, but Valve generally doesn't care about making sure steam/Valve games are friendly places to players. If it's not illegal, Valve isn't going to do anything about it.