Zoho Books support provided me with guidance as to how the "Last Payment Date" field is generated in Zoho Analytics.
I consider it a bug, Zoho does not.
In short, the last payment date does not mean the most recent payment you have received but rather the most recent payment you have applied. This is counter intuitive when compared to other accounting programs and basic AR knowledge.
1) I created and applied a payment on 19th January, 2021.
2) I created a payment on 21st December, 2020 but didn't appliy it to the invoice until 1st February, 2021
Since the payment created on 21st December, 2020 was applied last to the invoice, the last payment date is being shown as 21st December, 2020. (This is how Zoho Books works but not how other accounting programs work, in my experience.)