By bundling, Zed guarantees or at least claims that those bundled executables can be trusted. The same level of trust is possible with on-demand downloading only when some sort of authentication is used [1] but Zed currently doesn't actually authenticate any downloads to my knowledge.
[1] Either by embedding cryptographic hashes to the distribution, or by having some means to distribute publicly signed hashes (e.g. minisign via HTTPS).
Well, in any case Zed would be morally responsible for that issue or vulnerability, in the way that they have to at least push a new version that fixes it or prevents the download of affected dependencies. (I don't expect any legal responsibility to be clear.) Bundling at least makes Zed more conscious about what to include, even though it is unreasonable to expect that they've checked every details.
[1] Either by embedding cryptographic hashes to the distribution, or by having some means to distribute publicly signed hashes (e.g. minisign via HTTPS).