I don't have the Astrozap for the ETX, but I'd expect to be made in similar way to the Celestron flexible dew shield we got for the CPC and a friend's Orion shield. They each have about an inch of foam padding sewn inside the inner edge along the enire circumference.
After velcroing the shield together, pressing it onto the end of the OTA compresses the padding to provide an even tighter friction fit than you can get with a homemade craft foam or cardboard shield. You definitely want to attach it before aligning the scope!