My question is if a Rogue Trader/Void Pirate (atack 0) is in the same planet as the Chaos lord when they exhaust to make an atack they make one damage?

No. Zero attack does not start the dealing damage process.

RRG page 6

It's a timing thing. Since Zarathur is an interrupt for assigning damage, it can't trigger until the damage process begins. As detailed in the rules section Toqtamish quotes, the damage process never even begins when the unit's ATK is 0. As a result, you never get to the point in the timing structure where Zarathur can trigger.

But if a unit of 1damage atacks, and the other uses a shield of 1, since he prevents the damages u can trigger his reaction?

Thanks a lot for the answer and sorry if i cause you problems

Zarathur's interrupt triggers when damage is assigned, so his +1 damage is added in before you ever have a chance to play shields. So the 1 would become 2, then shields can be played -- which means you can shield against the +1 as part of the attack.