Are all the constellations in the Milky Way?

Yes, not only the stars of the zodiac, but all the stars we see with the naked eye are in the Milky Way.

Then explain a concept to LZ. The so-called constellation actually does not exist in physics. Constellation is that people artificially divide the starry sky into several regions (there are 88 in the whole day) for the convenience of identifying the stars. Zodiac constellation 12 is only distributed in the 12 region of the zodiac. Two seemingly close stars may actually be far apart, but there is no doubt that these stars all belong to the Milky Way (the Milky Way is a real huge star group).