I am having the exact same issue and agree, the documentation alone is not resolving this issue.  I'm wondering if the is some access in the sub system problem.  I've implemented this in an IF statement that checks for the file first using dbutils before attempting to unzip using FileZip and the same path variable in both and it never reaches the else but I still get the Errno 2 message.

I have attached a screenshot to show the specifics.