How to render Z-depth pass?

To render Z-depth pass:

Go to Render Setup > Render Elements and click the "Add..." button. From the list, select the "CGeometry_ZDepth" element and hit "OK". After adding it, you can change Z-depth element's settings at the bottom of the Render Elements window.

After adding the Z-depth render element, you can select it from the list in Corona's VFB while rendering to view it. 

For a list of render elements available in Corona, see: What render elements are there?