No, there's no major security vulnerability in zlib.
There's a stack buffer overflow in the contrib/untgz tool. However, these tools are unsupported as described by the README.contrib file: https://github.com/madler/zlib/blob/develop/contrib/README.contrib
"
All files under this contrib directory are UNSUPPORTED. They were
provided by users of zlib and were not tested by the authors of zlib.
Use at your own risk. Please contact the authors of the contributions
for help about these, not the zlib authors. Thanks.
"
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