I'd 90% agree with this, except that NATS does have an embedded mode.[0] That plus the clustering, gateway, and leaf-node features gets it very close to what ZeroMQ is doing, though at a much higher complexity level that's maybe unnecessary depending on what you're doing. Embedding is exclusive to Go programs, so that's very limited compared to ZeroMQ.
[0]: https://www.youtube.com/watch?v=cdTrl8UfcBo