You are correct.
1. Touch off the OD and make that your Z0.
2. Set a theoretical X0,Y0,Z0 in space.
3. Set your zeros to some feature on the part, fixture, or space that makes sense for the job.
I ALWAYS chose the easiest program zero for the specific job.
But for your jobs, it depends on how the part was programmed ( reflected in the manslaughter rate of your company's programmers), or some factor that is driven by design or fixturing. Maybe your blank parts vary all over the place...forcing a zero based on fixturing, or measuring a fixed distance from a fixture point.
In other words.....it depends. There's no fixed answer.