Windows has a known issue installing MSIs that contain chained MSIs via remote desktop sessions. This is an old well-known Microsoft installer shortcoming and is not something we can change. The best work-around is to install from the command line.
To do this open an administrator command prompt (right click command prompt, open as administrator) and use
msiexec to install:
msiexec /i "C:\Path\To\ZeroTier One.msi"