After a bunch of research about Z-buffer and our disposable output (I refer to scummrev3 and GrimEdi solutions), I decided to take a very long launch using
GLIntercept and OGLE in order to extract something useful from the game from Grim Remastered.
SURPRISE!
Besides having access to all new local textures (remember the new MATERIALS.LAB?), I just found this:

Nothing more than a Z-buffer in 24 bits with only Red channel!!
As in GF:R, developers said that original zb was 16 bits.
I extracted a .zbm and after some hexadecimal magic, I can proudly present to you:
GrimEdi now supporting z-buffer.
ZBM2OBJ with some fixes about RGB weights.
Here some comparisons between scummrev3, previous GrimEdi, new GrimEdi and GF:R:

And here the result:

PERFETTO!