Prefacing all this with the fact that I pick up the bike on Saturday, so I don't have it to test anything yet.
That said, I'm going with the wired headset. The Zumo does have an Aux out. I had it plugged into my Victory Vision before and then BT connected my phone to the Zumo to stream music through the external bike speakers. The the GPS audio prompts also played through the bike speakers. I didn't have wired headsets, but I would assume I could select which output (speakers v headset) I wanted for the Aux input.
The Zumo is also BT, so I'm also wondering if I can pair it with the bike and not worry about using the Aux port. I guess another option could be to just pair the phone with the bike and stream music that way and then pair the GPS to the bike for turn-by-turn and other GPS audio. Not sure how many BT connections the bike will support.