The equality is true provided an additional assumption is made.
Let $z_0 = 0$ (as implied, but not stated, in the question). Then, applying the Mean Value Theorem for Lebesgue-Stieltjes integrals of the form $\int g(z) dF(z)$, the right hand side can be analyzed as
$$\eqalign{
\mathbb{E}\left(\frac{\partial f(z,\theta)}{\partial \theta}\right)
&= \int_0^\infty\frac{\partial f(z,\theta)}{\partial \theta} dF(z,\theta) \\
&= \sum_{i=1}^n \int_{z_{i-1}}^{z_i}\frac{\partial f(z,\theta)}{\partial \theta} dF(z,\theta) \\
&= \sum_{i=1}^n \left(F(z_i, \theta) - F(z_{i-1}, \theta)\right)\frac{\partial}{\partial\theta}f(z_i^{*},\theta) \\
&= \sum_{i=1}^n \left(\frac{i}{n} - \frac{i-1}{n}\right)\frac{\partial}{\partial\theta}f(z_i^{*},\theta) \\
&= \frac{1}{n}\sum_{i=1}^n \frac{\partial}{\partial\theta}f(z_i^{*},\theta)
}$$
where each $z_i^{*} \in [z_{i-1}, z_{i}]$.
Now let's examine the left hand side, once again invoking the MVT (and assuming continuity of $F$, so that mixed partial derivatives can be reordered):
$$\eqalign{
&\frac{1}{z_i - z_{i-1}} \left(\frac{\partial}{\partial\theta}F(z_i,\theta) -\frac{\partial}{\partial\theta}F(z_{i-1},\theta)\right) \\
&= \frac{\partial}{\partial z}\frac{\partial}{\partial\theta} F(z_{i}^{**}, \theta) = \frac{\partial}{\partial \theta}\frac{\partial}{\partial z} F(z_{i}^{**}, \theta) \\
&= \frac{\partial}{\partial \theta}f(z_{i}^{**}, \theta).
}$$
where each $z_i^{**} \in [z_{i-1}, z_{i}]$.
Thus the difference between the left and right sides equals
$$\frac{1}{n}\sum_{i=1}^n \left(\frac{\partial}{\partial \theta}f(z_{i}^{**}, \theta) - \frac{\partial}{\partial \theta}f(z_{i}^{*}, \theta)\right).$$
What would it take for its limit to be zero as $n\to \infty$? One simple (but not necessary) criterion is that for each $\theta$, $\frac{\partial}{\partial\theta}f(z,\theta)$ should be of bounded variation, because--as is immediate from the definition--the magnitude of the difference does not exceed $1/n$ times the total variation of $\frac{\partial}{\partial\theta}f(z,\theta)$, whence its limit would be $0$ (QED).
Indeed, this analysis suggests counterexamples to the original statement. All we need do is construct a family of distributions where these derivatives of the density (with respect to the parameter $\theta$) grow unbounded on the domain $z\in(0,\infty)$. One such family, for $\theta\in (0,1)$, is
$$f(z, \theta) = z^{-\theta} - 1, 0 \le z \le 1; \ f(z,\theta) = 0 \text{ otherwise}.$$
$F(z,\theta)$ is continuously differentiable in $z$ for $z \in (0,\infty)$. If it is desired to make $F$ differentiable at $z=0$, too, then a more complicated counterexample would need to be constructed--but the idea should be clear.
Plots of $f(z,\theta)$ for $\theta\in \{2/3, 1/2, 1/3\}$ are overlaid in this graphic.
An immediate problem crops up: $\partial F(z_0, \theta) / \partial \theta$ is not even defined. We cannot hope for the left hand side even to make sense, much less to be equated to the right hand side--which is finite (equal to $\frac{1}{(1-2 \theta )^2}-\frac{1}{(\theta -1)^2}$) when $0 \lt \theta \lt 1/2$.
