The first few episodes of The Walking Dead in the city when Rick has no idea what the situation and then turns and sees hundreds of zombies down every street corner in Atalanta. Now that would be amazing to see but there is no way to have that much calculation in large cites as said, but would be freaky getting cornered by 100 or more dead coming in all directions and that's the real zombie scare for me.
A feeling of "how am I going to possibly survive this" when there is no place to run and all streets have them closing in on you, then you have to get desperate to survive and look for a building to go into and then they are clawing at the windows and you run up the stairs and they manage to break through the glass, you think "oh this is it" and as you are climbing the stairs you know you will be trapped and you have no more floors to go up, so you bust through a door onto the roof trying to hold them back at the door, at which point you get overrun and you need to either jump down from the building somehow or jump to another building or you die and wake up on your bedroll, yeah I guess the thrill is kind of gone when you just wake up on your bedroll.
Zombie apocalypse can never be truly until you feel the true fear in that situation of which a game can never produce. Those who know The Walking Dead and the first few episodes where Rick, dumbly (Dumb Ass) stumbles into town and gets overwhelmed with the numbers of the dead and with the realization that they are actually going to rip him to pieces and have him for lunch. That pretty much sums up what the true horror of the situation would be, no, VR will never offer that either unfortunately.
The good news is its just a horror movie or game, so you can still go out for Starbucks tomorrow and go out to dinner with your friends, maybe watch some Netflix or read a book before bed, maybe buy that 50" LED TV you have been looking at, yeah that sounds better to me than surviving a zombie apocalypse.