Zoho Calendar via CalDAV in Windows Calendar
The correct server URL to use in Windows Calendar (WinCal.exe) seems to be
https://calendar.zoho.com/caldav/ [calendar-id]/events/
The trailing slash is important. You'll get a 404 error without it.
https://calendar.zoho.com/caldav/ will get you to the same point.
https://calendar.zoho.com/ will get you an error about the iCal file format (RFC2445)
However, with the /caldav/ URLs, the login request is denied. I don't know why this is but I thought that there should be a post about it at least somewhere on the internet.
If you grab the iCal file directly with a browser, you'll see it's an empty file. This is most likely part of the problem.
Windows Calendar is quite old, but it's a lot faster and more reliable than Lightning. The program isn't officially supported by Zoho, but that shouldn't matter because the CalDAV protocol is independent of the program using it.