zkVMs (of which RISC Zero is one example) require a TEE. That's the whole point: the privacy properties come out of the math. Basically, nowadays, once you and I can agree on the text of a program, you can run the program on your private inputs and produce a number that proves to me that you actually ran this specific program and not some other.

For example, age verification: I can run a program that takes a signed time-stamp and an officially-signed birth certificate and produces a yes/no "over 18" boolean, then prove to you I actually ran this program, not just "return true", but WITHOUT revealing the birth certificate.

It's a really neat facility that too few people are thinking about. We've had zero knowledge systems for a few decades now, but until now, each one has been a special bespoke mathematical object that would take years to develop. Over the past year or two, we've 1) made the things 1000x faster, and 2) made it possible to write arbitrary code under zero knowledge instead of having to make each ZK system a PHD thesis.

Others say that zkVMs are pointless because they're less efficient than these bespoke mathematical objects. Yes, they are. So what? The flexibility is worth it. Others say that zkVMs came out of Etherium, so they're only good for "crypto" stuff. Yes, they came out of web3 stuff, but so what? The zero-knowledge stuff they did is generally applicable, a real CS advance, and it'd be a shame to ignore it because of who made it.

Anyway, if you're interested, check out the Noir programming language:

https://noir-lang.org/

Noir makes it easy to play around with a ZK system and get a feel for it.