No real difference between the z and PZ. The Z was sold in the US? and the PZ elsewhere or something like that. The little p stands for panoramic mode. That's where the shutter is closed in a bit to give a panoramic look to the 35mm image. It's funky. There is a lot of info on Pentax bodies and lenses here:
Welcome to Bojidar Dimitrov's Pentax K-Mount Page
I will also say that there is a difference in functioning between the PZ-1 and PZ-1p menus too ( found that out in a quest for spare parts on my PZ-1p). If you are interested in a PZ-1p body PM me on that. I have a spare, boriscleto a bit under estimated the price of these though.
Oh, and it's a great camera for sure.