If your ZEN Thermostat doesn't seem to be sitting flat on the wall, you can check that the wiring bundle is not interfering with the device and pushing it away from the wall. If the wires are interfering with the fitment of your device, you can try pushing some of the excess wire back into the wall cavity.
Also check to make sure that the surface you mounted your device on is indeed flat. Some walls appear flat to the eye but are slightly curved.
You can also try using the provided backing plate which may assist in getting your ZEN nice and flat on the wall.