From the Civ site's FAQ:
"Are features from the Conquest scenarios available in the main game?
Since the Conquests are self-contained, many technologies, units, civilizations, and other features can be found only in a specific Conquest. For instance...
...That said, many features created for the Conquests were brought over to the Epic Game. Examples include abilities such as enslavement and stealth attacks, wonders such as the Knights Templar and the Statue of Zeus, and the unique units for each of the new civilizations."
So, there is a Statue of Zues.