The thing about the zdepth pass is to set the correct max and min distances. This is entirely dependent on the scene in question, so there is no "reasonable default that will usually work", as each scene will need a different value. If everything is black, it means everything in the scene is further away than the Max Z distance, and so is rendering as the Max Z color (black). You will need to do some measuring in your scene to decide the distances needed in Max and Min for a suitable fade.
(The option shown above for "whole scene" can give a good starting point, maybe even a good finish point - if it needs editing, you can note the value shown in the parameter, and then swap back to entering it manually to make needed adjustments)