If you are going to check the GUID against the zero GUID, you by the same logic also need to do due diligence of checking it against all other GUIDs in your application (as the probability of getting a zero should be the same as the probability of getting any other GUID in your app*). You need to do this to prove the axiom you are acting under is that this GUID will be unique (which is actually the same axiom as testing vs 0).
Obviously doing this is absurd.Obviously doing this is absurd.
TLDR; If you can trust NewGuid() to produce unique results, you can also trust it to not produce any single known GUID.
* Its actually not the same probability as .NET GUIDs always fit the following {________-____-4___-____-____________} so NewGuid will NEVER generate a zero guid
Just for fun I suggested an improvement to the docs here: http://feedback.msdn.com/forums/257782-msdn-feature-suggestions/suggestions/7143498-fix-documentation-for-newguid