Some interesting things you have put forth and some interesting I have too. It depends on what you define as Zoroastrianism. Yes,state sponsored institution of Zoroastrianism(Zurvanism) had more or less collapsed. That's what I meant. It would have modified itself into something else like how Semitic Paganism gave Judaism,Hellenism and Judaism gave Christianity,Arab Paganism gave rise to Islam in OTL. Otherwise it is very difficult for Ethnic religions to survive. At least defencively,they have to become an Universalizing religion. Before it's disappearance, Zoroastrianism was prevalent in Asia Minor,Iran,Southern Russia,Caucasus,Central Asia,parts of China and India too. See now how many ethnicities become visible? A Slavic/Greek/Germanic/Celtic empire would have siezed the opportunity and outright conquered it. See how powerful these were in OTL. They would subsequently Christianize it or convert them to any other religion they follow(ethnic religion concept was unpopular in Europe). To survive,Zoroastrianism would need to repack itself and expand like how Arabs expanded from the peninsula to the hyuge region they are in today of course by assimilating locals like it was done in Levant,Iraq and North Africa.
Hinduism,Sikhism aren't exactly ethnic religions in play. Shinto too doesn't have a strong ethnic box plus they were situated too far from regions where invasions were predominant.