I'm assuming you're at step 3. The only thing I can think of is that you may not have saved the webhook handler on the Integromat side, and Zoom is trying to validate that the webhook handler exists. I updated the description to explicitly call out "Save" and "OK" on the clicks. See updated description below:

On the next screen, click Add and call the Webhook User Status. Click Save, and Integromat will generate a URL that can be called from Zoom to trigger this Scenario. Copy the URL which will help us set up our Zoom App connection, then click OK.