I do not have a Delphi compiler available right now, but I do not think there is a need for SecureZeroMemory.
I do remember that in Delphi, the Win32 API functions/macros CopyMemory and MoveMemory are identical (they are both implemented just as the pointer "versions" of the Move RTL function). Hence, the remark at the MSDN CopyMemory reference page saying that you must use MoveMemory rather than CopyMemory is the blocks overlap, is irrelevant. Delphi's Move always makes the right thing.
I think the same thing applies to ZeroMemory and SecureZeroMemory. The first is implemented as FillChar with #0, and if there would be a SecureZeroMemory function for Deplhi, I think it would also just be a FillChar with #0. (If FillChar would be ignored at some times, it really should be documented in the Delphi reference, but it isn't.)
Please correct me if I am wrong!