Hi! I'm sorry, I'm only just now seeing these questions. I use the scroll wheel on my XP-Pen for zoom all the time. To be honest, I'm not a fan of touch inputs on drawing displays in general and just find I'm happier using alternative inputs like keyboard commands or a TourBox controller. Typically, what I will do to zoom is use the stylus to move the bars on the right and bottom of the image to a generalized area as I'm rotating the wheel to zoom in to specific areas. I'm so used to it as part of my workflow that I don't even think about it. I wouldn't recommend putting the pen on the display while zooming with the wheel, as it will leave a mark, though.
As far as parallax, there is virtually none thanks to the laminated screen. Where you put your stylus is an accurate representation of where your cursor will be with laminated screens. I am not familiar with Lenovo's a940, but the advances in laminated screens to minimize parallax has been incredible in the last few years, even with budget devices from XP-Pen, Huion, Xencelabs, etc. You just don't have that bulky glass throwing off the perspective anymore.
I did do an older review of the XP-Pen Artist 24 Pro, and some images can give a better idea of the parallax question.
https://www.windowscentral.com/xp-pen-artist-24-pro-review