As long as you set Alpha’s --zero flag to a Zero in the cluster, it first connect to that Zero and then make a connection to the current Zero leader for updates.
You can also set multiple Zero addresses for that option:
dgraph alpha [other flags] --zero zero1:7080,zero2:7080,zero3:7080
In which case, it will try to connect with any one of these Zeros to connect with the cluster and, once connected, will make a connection with the current Zero leader.
For Zeros, many of its admin commands require them to be done on the leader.