Hello,

The insect in the photo is a sweat bee collecting pollen. It is not the cause of your leaf chewing.

I cannot be sure what is causing the damage, but common problems with zinnias could be slugs, earwigs, or 4-lined plant bug.

I suggest looking through some of the mulch you have there or observing the plants at night when many insect or slug pests are more active to see if you can capture the culprit in action. With additional photos of pests active on the plant, we could better assess how to manage the problem.

Because the flowers are in bloom and actively attracting pollinators, it is not recommended to apply any pesticide at this time. 

You may also bring a sample of your plant to the Hamilton County Extension Office at  2055 Reading Road
Suite 500
Cincinnati, OH 45202

or mail a sample to the plant and pest diagnostic clinic (more information at ppdc.osu.edu) if you would like further assistance.