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What is generally called a Zephyr class, as opposed to a Zephyr instance, refers to classes (and instances within them) other than class message. These classes are considered to be private because there is no * wildcard option for the class field. You must subscribe to a class explicity. If you try to subscribe to a class using zctl sub \* \* \*, you will be subscribed to all the instances on the class named *. However, the lack of this wildcard does not guarantee absolute privacy on a Zephyr class. Listening in on a Zephyr class is as easy as figuring out what the name of the class is and then subscribing to it.
Classes are a good thing to use for things like having a place for members of a living group to chat over Zephyr, or just for a group of friends to chat, or to send private Zephyrgrams to a number of people, perhaps about a group project. If you and your friends wanted to use a Zephyr class to chat, you could make up a name like myfriends (you would want to choose something private, that other people would probably not be using already) and then type
zctl sub myfriends \* \*
(Again, you could use zctl add instead.)
The * for the instance means you will be subscribed to all instances on class myfriends. This means that your friends could write to a specific instance within class myfriends, perhaps to distinguish what you are talking about, or just to be silly, and you would receive the message regardless of which instance they decided to use.
One class you might want to subscribe to allows you to receive Zephyrgrams from the post office servers when you get new mail. To subscribe to this class, you should use zctl add mail pop. You probably want to use add rather than sub so that you will receive these Zephyrgrams whenever you are logged in. In your .zephyr.subs file, this will appear as the line mail,pop,%me%, indicating that you are only subscribed to messages on this class with your username as the recipient, and on the instance pop.