This is a known problem with the ZRX.
I think mine happened @ around 12,000klm,s. I noticed it was not changing down gears properly under rear wheel braking or heavy engine braking, found nut was about 2 turn's from falling right off. This was the day after a major service where they ticked they had done a nut & bolt check, adjusted the chain & greased the swing arm, $600+ service. BULLSHIT.
Mines an '01 model, can't beleive they are still having the same problems after 7 yrs of production.
You would think Kawaski would take note of all the recurring problems listed on ZRXOA over the years.
Make sure you
personally check your cam lobes too

. The dealers have a hard time doing this because you actually have to remove the tappet cover, as opposed to just ticking the box that says Check & Adust Tappets.
End rant.
Just saw your new post about the lack of nuts @ Kawasaki, maybe try some wreckers, ZZR maybe the same even, not sure.