As you can see on this photo
there's gray Anderson connector in zip bag and the other side of AUX cable (cable that you plug into Zero AUX charger port, has brown Anderson connector and black/red wires) is just crimped.
I believe the reason for this is to make installation easier, as you can feed crimped connectors through bike's internals more easily than if you'd have grey Anderson connector installed
So what you do is take that connector out of the bag and slide both wires into it, where they lock in place.
What I didn't realize however is that those crimped ends are not exactly symmetrical top/bottom. They have slight bend that helps locking them in place. I locked one of them upside down which meant it wasn't sticking out as far enough as it should've been and therefore SC didn't work in my previous test.
Once I fixed that, I was able to charge at 4.75 kW (Zero app reported it as 4.4 kW):
Now I just have to wait for PowerTank plastic to arrive to finish my install
Even though PowerTank plastic should be way easier to install, it's also $300 more expensive, so I figured I'll take cheaper approach for now.