Do you have any balance in your wallet? Not sure why a zero value transaction occured in your case, but I'd immediately transfer funds to another safe address(controlled by me) if I suspected such activity.
There is no reason to do that. OP can't have his coins stolen in that way. Think about it: If a hacker/scammer had access to your wallet and could steal your coins, would they take everything you have, or would they make silly 0-value transactions? I am sure you know the answer to that question.
The scammers create similar looking addresses. They match in the first and last couple of characters. The idea is to trick the person into copying the wrong address from their transaction history instead of going about it the correct way. If you use the send/addresses/receive tabs the way they were intended, and not copy addresses from transaction histories or block explorers you would have nothing to worry about.