My Homebrew PR has merged, so SDL Frotz now installs cleanly on Catalina via Homebrew.
Just install Homebrew in the normal way, then brew install frotz. With that, I was able to run sfrotz shogun.ZIP on my ZIP file, with shogun.blb in the same directory, and the game worked normally, with graphics.
I believe sfrotz is now the only interpreter that works on macOS Catalina and supports Z6 games with graphics.