I think the error message is telling you exactly what's up - the file it's looking at doesn't exist. Have you checked with a 'stat' on the path it's complaining about?
You've got your efi partition listed as /efi, and dracut is looking directly in this directory for the zen kernel subpath under
efi/f515a4a11be148a580c14dcbdcc58ef9/
but then you list your efi directory permissions as being for efi/EFI
Which looks more correct to me.
Dracut's looking in the wrong place I think.
under the efi/EFI directory, there should be a /boot dir. Try mounting that to /boot and running dracut -f again, it might pick it up. I think having versioned kernels directly under the efi is breaking the spec, which dracut has said they won't do
Fair enough, I did assume the target audience was selfhosters based on the question.
As for provider backups - well, you'd hope. But M$ doesn't do user available backups, so I'd be surprised if that was bundled by the average SaaS provider.