The ZORA relativistic approach is often superior and in other cases at least similar to the older Pauli method. In particular for all-electron calculations generally, and for very heavy elements even within the frozen core approach, the Pauli method may exhibit significant shortcomings. This is mostly due to the variational instability of the Pauli formalism in the deep-core region near the nucleus. The bigger the basis set and the smaller the frozen core, the more likely this will show up, while generally speaking you might be tempted to use smaller cores and bigger basis sets to improve your results. The ZORA approach does not suffer from these problems and is, therefore, highly recommended over the Pauli formalism.