Light rain is generally fine — Z Grills are built for outdoor use and the controller housing is weather-resistant. Heavy rain or storms are a different situation.
Light rain / drizzle: Fine to continue cooking. The grill barrel protects the fire from light rain.
Heavy rain: Not recommended. Large amounts of water can enter the hopper, wet the pellets, and potentially reach the controller area.
Storms / lightning: Stop cooking and move the grill under cover, or disconnect the power.
After heavy rain: If pellets in the hopper get wet, empty them and discard them timely, wet pellets will jam the auger.