This Modern UI Zimlet implements the reading and setting of the Sensitivity header RFC2156, it is implemented the same way as in MS Outlook, mainly to keep it consistent.
For the Classic UI version take a look at https://github.com/Zimbra/confidential-header-zimlet.
To allow the setting of the Sensitivity header one must enable it on the Zimbra server:
zmprov mcf +zimbraCustomMimeHeaderNameAllowed Sensitivity
Display of the Sensitivity header in Zimbra
Display of the Sensitivity header in Zimbra
The Sensitivity button in the email composer