That's a limitation for Confluence . . . there's not a way to block users from typing in URLs to get to areas that aren't restricted.
I have seen customers configure an Apache server in front of Confluence to do this kind of thing, but it's rather complex and unfortunately we can't offer any advice on this.
Zen is designed to not show the dashboard to anyone but admin users. However, you must set the Confluence Site Homepage (on the Admin Console) to your preferred landing space, which is the "new" home page for the site (this can be any space that's visible to all users). Then visitors will land on that space, and the dashboard link (under Zen's toolbar menu) won't be available to non-admins. (There is a checkbox called "Show Dashboard Link To Regular Users" in the Toolbar panel in the Brand Designer if you want regular users to see this link.)
Also, you might want to set Zen as the site-wide theme (in the Confluence Admin Console) so that the dashboard, login panels, search results, and elsewhere are styled by Zen.
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