The BSD and GNU/Linux community have a different definition for "firmware".
Firmware/microcode is simply loaded onto the embedded processor inside the Wireless device, it is not the driver that's being executed by the host kernel.
Reading the
zyd(4) man page would seem to indicate that the firmware is already distributed with FreeBSD, so the error you're seeing could be indicative of an unsupported/problematic device.. corrupted firmware.. or perhaps the firmware is already loaded on the device, i.e: a warm reboot after using Linux or Windows previously.
Try powering down completely, and starting FreeBSD once again..
Good luck..