You can either use the SDK, which helps you in setting up a jME project. Or then a IDE of your choice. You only need to download the ZIP you mentioned if you are planning to use another IDE and Ant project. I would advice against this.
Which IDE you choose, completely up to you. But as far as build systems go, I’d go with Gradle. You don’t need to mess with JAR files manually.
SDK is pretty straight forward, for other IDEs, you can jump start your journey with jMonkeyEngine | Quick Start.