A .ZAT file is a signed Safeguard protocol recording of the session. The file can only be played through the "Safeguard Desktop Player".
When using the "Export" option in the player, the file is converted to the open source .wbem video compressed format. This can be played through 3rd party video applications, such as VLC and Windows Media Player. These files are not signed.
Due to the different technologies used between the two the file sizes may significantly differ (RDP session will typically export to a smaller file size, and SSH session to a larger file size)