Yes ZOPIM should work with Wordfence. I just installed it in our test server and examined the code. ZOPIM uses javascript. It appears to add some data if you're signed into the WordPress site which includes email address and so on and is viewable in the HTML source. But the javscript for non-signed-in users is generic. And because Wordfence only caches data if a user is not signed in, ZOPIM should work fine.
Regards,
Mark.