Bind delete key in vi mode

bindkey -a '^[[3~' delete-char

Zsh has a variety of different keymaps and by default, bindkey will bind keys in the normal insert mode keymap. The command mode keymap is selected with -M vicmd. -a is a shortcut for that. You can list the keymaps with bindkey -l. You'll see that there is also viopp which is used for movements after a key like c or d. There's also visual for visual selection mode.