I've recently started with home assistant on a pi as well. Today I have 2 zigbee relay for my lights from Sonoff, 2 zigbee fire alarms, 1 wifi plug from Shelly and 3 Ikea remotes working on Matter over Thread.
Basically, any protocol you want to support other than wifi and Bluetooth will need a dedicated radio device. Luckily they are all pretty well supposed with home assistant. I have 2 Aeotec Zi-stick, one for Zigbee, the other flashed with OpenThread firmware (that's for Matter over Thread, it wasn't a good idea to buy twice the same device, I had to work around this issue). I don't have Z-wave devices today, as I noticed they tend to be more expensive that the zigbee equipment. The new IKEA smart devices are very competitive in terms of price, they all work on Matter over Thread protocol.
In the end, you don't need to choose. You can support all these protocols on the same raspberry pi. It's just a matter of adding the corresponding radio and integration in home assistant.