Yes, zero float means there is no float in a given task or in the project overall. This would define the critical path -- the portion of the project (including the possibility of the whole project) which must be completed exactly as scheduled. Obviously this will add more risk.
The project manager needs to work with the project team and project sponsor to determine how to best mitigate the lack of float, which may mean artificially adding float by extending the project deadline(s) if appropriate. Some projects have no room to add float (e.g. Election Day will not move for a project), so other mitigation strategies (including postponement) may have to be adopted.