Is the Zero day protection is available in Sophos end user agent?

Thank you for reaching out to the community forum.

For endpoint devices, this feature is covered with our Intercept X Advance. Though they may not be totally the same functions, the protection they provide is almost the same. Our Endpoint next-gen protection is also able to perform machine learning and more. You may refer to this product overview to learn more about our endpoint

The features which are available in the Sophos firewall is not available with Sophos end point agent 
Compare to Sophos end point, Sophos firewall has more protection right ?

The Sophos Endpoint is more complex in Terms of Analyze features as the Sandbox itself. Intelix (Zero Day Protection) generally speaking is a Sophos Endpoint installed in the cloud to analyze a file. The Endpoint offers more features than Zero Day Protection. 

See: https://docs.sophos.com/nsg/sophos-firewall/20.0/help/en-us/webhelp/onlinehelp/AdministratorHelp/ZeroDayProtection/index.html

The ZeroDay Protection is Powered by Intelix. 
You can showcase Intelix here: https://intelix.sophos.com/ 

I am not comparing only zero day protection, overall protection comparing with firewall