Reports are a big, separate issue from modern web applications technologies.  Unless you're writing a reports web application.

This can be slow/bad in applications with large data?

Sure. To avoid that make your REST service logically asynchronous (see DeepSee REST API for MDX execution):

  • User sends a query
  • Server immediately returns query key
  • Server executes query into another (jobbed) process
  • Some time later user sends query key
  • Server returns current query status (in progress, done)
  • If query is done send user the data

Also, if you're using pure SQL, scrollable resultset can be used in a similar fashion.

  It's better/recommended to use ZenReports even with ZenMojo applications?

It's just another approach to reports.

  Or Zen Mojo, like any other applications based on HTML, JS and PHP can support this with any problem?

Reports can be done using ZEN Mojo, sure.

The preparation of the JSON is very fast because the use of %DynamicObject and %DynamicArray; ZenReport can be slower than it?

Time to render JSON is negligible compared to time time you need to generate a report. ZenReport calls other software to render report files, so it's slower, sure, but still I think the main timesink here is execution and not rendering.

To sum up, your requirements determine the necessarily approach.